However and wherever you choose to work out, you'll get the best results by creating a custom training program for yourself. A program is just a series of exercises organized a certain way and done at a certain intensity. An exercise is a movement designed to work a specific muscle or muscles. For example, the bench press works the chest, shoulders and triceps; Curls work the biceps; and squats work the quadriceps, hamstrings, glutes, abdominals and lower back.
The details of your program depend on your fitness goals and what you want to accomplish by working out with weights. There are basically three kinds of goals: power, endurance or both. Power (commonly called strength, but endurance is just another kind of strength) is the ability to move mass, whether it's a telephone pole or a heavy sack of groceries. Endurance is the ability to work longer, like when you have to carry those groceries from the car into your house. Training for power helps you build muscle mass; training for endurance gets you toned muscles. You can train some muscles for power and others for endurance--or alternate between the two--or you can train somewhere in the middle.
Bear in mind that few men or women are genetically predisposed to get really big and bulky, even if they train for it. Remember, too, that muscle definition is the absence of body fat.
A workout journal is a good thing to have, especially for the inexperienced. It makes it easy to track your progress. There's a great deal of satisfaction and encouragement to be had in knowing you can lift 15 or 20 pounds more than you could three months ago. It doesn't have to be anything major-just the exercises you did, the weight you lifted, reps and how many sets.