Hi prima111,
Congratulations and welcome to alli. The alli plan is designed to work because it incorporates all of the main components of long-term, healthy weight loss: diet, exercise and of course, a boost from the pills.
In terms of exercise, you want to combine cardio exercise (elliptical, walking, spinning, jogging, aerobics, etc.) that gets your heart rate up and sustained (in the 65-80 percent of your max) zone for 30-60 minutes, with strength training exercise to build lean muscle mass.
Building lean muscle mass is critical to your overall weight (and fat) loss and to keeping it off. The more muscle a person has, the more metabolically active they are, burning calories and fat, even at rest.
Adding strength training to your progam will help a great deal. It will help you burn calories at a faster rate and promote the production of new lean muscle mass. I recommend you begin a program for your total body, twice per week. Follow the recommended strength training exercises on this site under "mystrengthtraininglog" for some great exercises as well as demos. The exercises on the site are all great basics that will help you reach your goal.
Continue this with at least three days per week of cardio exercise, 30-60 minutes each, and you will start to see results.
Be sure to closely follow your diet and your recommended caloric intake. Also be sure to get plenty of rest and stay hydrated.
Let me know if you have any questions as you get going and keep me posted.
Good Luck,
Paul