The first challenge to starting an exercise program is making time in your schedule. I've found that the best times for me are either early in the morning (between 6:00 and 7:00) or right after work. I had a roommate once who liked to go to the gym in the middle of the night because it was less busy then. So it might take some trial and error to find the best time for you. The main point is to schedule a time and then do it.
Another challenge (and, in my opinion, the "trick" to keeping up the program) is to find exercise that you like to do. A lot of people love running and make this their main form of exercise. Personally, I can't stand it. I prefer going to the gym and working out with weights. Or hiking. Some people like martial arts, biking, dancing, or exercise classes such as aerobics or Zumba. Just find something you like. WHAT you do isn't as important as the fact that you are doing SOMETHING. Movement is the key.