Any exercise at all will help. Riding a horse, walking a dog, jumping a rope,...

Where you start depends on your current level of activity. If you are very sedentary walking is a good place to begin. As you improve you can add more aerobic activity to get your heart rate up. Also you should do some weight lifting every other day because you will lose both muscle mass and fat as you lose weight. Lifting weights helps restore your muscles. How much weight and how many reps depends on your current fitness level.