Start small, but start strong
First, find a class that is small enough to ensure sufficient attention from a professional instructor. This will help you quickly understand the tenets of Pilates and their focus on the mind-body connection, not just sweat and muscle work. You'll need specific directions on how to position your body for optimal balance and strength.
Supplementary Pilates DVDs and books
There is a great wealth of resources online and in the bookstore in both books and DVDs. Online resources professing to provide great advice are probably not the best place for detailed lessons, but they are a good place to start. Through them, you can get recommendations on what books and DVDs might be best for your specific needs. For example, Pilates routines for physical rehabilitation or convalescence will be quite different from those geared toward those with higher levels of physical fitness.
Buy at least a couple of DVDs for your home practice. It will be a while before you are comfortable creating and following a regimen you designed yourself. The DVDs enable you to match your pace, breathing, and form with professionals while you are gaining proficiency. Likewise, books written by professional instructors help you further delve into the Pilates philosophy of the mind-body connection, emphasis on breathing, core strength, and balance that might be overlooked in some classes and videos.
Pilates for the Long Haul
When combined with professionally-instructed classes lasting an hour and a half or more, a dedicated home practice several times a week will raise your fitness level to heights you've not seen before. Not much more is required of your home practice than a 20-minute to 30-minute commitment a few times a week in addition to a class (or two). Soon your mood, energy and overall health will improve significantly -- something that, in the long run, will greatly outweigh the visible improvements in your physique.