How often are you seeing this "ex" girlfriend? It doesn't sound to me as if the relationship is over between the two of you, you sound a bit too enmeshed still? Are you seeing other friends, doing other things? If her commenting on your exercise habits or lack thereof bother you, tell her. If she is just a friend now, she is spending too much time on you and your issues instead of her own.

If you want to do something about your body, then figure out a way to do it (walking can help) and next time she mentions your "problem" tell her it isn't her business. It sounds like a lot of your problem comes from your desire to do something but not putting that into place and feeling guilty for not doing so. Having a plan or goal for yourself will help your self esteem in and of itself so you can tell others where to get off when they cross the boundaries of good friendship and start meddling in your personal issues (how you "look"/feel about yourself).