Do NOT do any weight training workout every day. Also, when you get to the point where you're breaking your weight training down to 1-2 body parts a day, don't work the same muscle group more than a couple of times per week. You need to give your muscles times to heal after training them. When you weight train, you are actually tearing apart the muscle. Really: Little microscopic tears happen to your muscle while you weight train. That's why you get sore, because as the muscle tears, lactic acid is released, which causes the muscle to get sore. As the muscle rebuilds itself, it becomes stronger. It's through the repeated cycles of tearing apart and rebuilding that your muscles develop, become lean, and become strong.
Okay, with that said, when you do get to the point where you're working only 1-2 muscle groups per day, here is a good example of what body parts to work together: Back/biceps/shoulders; chest/triceps; legs/abs. When I used to body build, I was taught to work "opposing" muscle groups on the same day. The above is how I started weight training. Now, however, I will occasionally mix things up and do triceps and biceps on the same day. I don't feel that I get as good of a workout in either muscle group when I do that, but it's good to do on a light day.
Lastly, a word on strength training for becoming "lean" instead of building "mass". Lower weight, higher reps. In other words, use less weight, and go for longer reps. This creates lean muscle. Going with more weight and less reps is more for building mass. Now, as a woman, this probably won't be that big of a deal, because women tend to become more lean with strength training, anyway. However, if you are like me and build mass easily, and you don't want to, stick to the "low weight, high rep" rule. Cathe's Gym Style workouts from the new Hardcore series provide an excellent format for such a workout. But they're on 3 DVDs that each focus on a separate group of muscles (actually, the breakout is just like I listed earlier for opposing muscle groups worked on the same day).
It's taken me a long route to get here, but my recommendation is to start with a nice overall weight training DVD like the ones mentioned already by other posters. This will get your body on the right road. After a month or two of doing that DVD 2-3 times per week (absolutely not more than 3 - maybe rotate: 2 times one week, 3 times the next week, then back to 2 times the next, 3 times the week after that, and so forth - space it to get 2 rest days between workouts)...at any rate, after a month or two of that, I'd suggest that you invest in the Gym Style workouts and do each one twice a week. Make sure you're doing about 10 minutes of ab work 2-3 times per week, as well (Power Hour has a great ab workout, but you could always buy Ab Hits or Core Max, too). Last but not least, keep up your cardio, whether you're walking every day or you invest in some Cathe cardio DVD's. And STRETCH, STRETCH, STRETCH!!! You can buy a good book of stretches at just about any bookstore if you don't want to buy Cathe's Stretch Max DVD. You want to stretch your calves, quads, and hamstrings especially, and your lower back. Do this every day, regardless of whether or not you do anything else. Stretching lengthens the muscles, making them more pliable and leaner-looking.
Sorry for the over-abundance of information. I hope I didn't confuse you. I have a tendency to get a little carried away on the topic of exercise.

Good luck with your new commitment to exercise. If nothing else, maybe now you have a good 2-3 month plan laid out before you so that you can really develop a good strong exercise habit.