The misconception that most women have is "I don't lift weights because I don't want to bulk up." Skipping this essential fat burning technique is actually slowing down your weight loss progress. 

First and foremost, women would have to lift some serious amount of weight and take muscle building supplements to look like the women of the WWE. Building and toning lean muscle actually speeds up your metabolic rate. What that translates to is that even when your body is at rest, you will burn calories at a quicker rate.

If your gym offers a free fitness assessment or orientation of equipment, take advantage of it. Often times women will shy away from the weight room because they're afraid of looking stupid.

If you can afford to work with a personal trainer once per week, do so. You'll learn different exercises for the muscle groups in your body. Your trainer can not only show you specific exercises, but also proper form and advice on which muscle groups should be worked out together. If you can't afford to work out with a trainer, find a buddy. We all have a "gym rat" friend who can show you a few pointers. If that still isn't an option, finding articles and videos on-line can be helpful as well. Here's a great link for weight training for beginners from Fitness Magazine.