Thanks for the replies so far! One more question: how does one 'do weights'?
'Do?'
Weights require repetitive operation - the muscles adapt in response to repetitive stress, so you alternately stress the muscle and then let it recover. The amount of weight is entirely personal, and directly related to your current muscularity, along with your intent. Was it Andy Gates who had a sig that went "Remember, somebody somewhere warms up using your 1 rep max...?"
So weights involves cycles of stress, relax, stress, relax. Usually, a series of a certain number of operations of the muscle, followed by a short recovery period, all repeated a number of times. This is what's known as 'repetition' or 'rep.'
An example might be a cycle of 3 sets of 10 - i.e. ten operations of the weight (machine or free weight), then a short recovery period, say a minute or so, and then another set the same, and finally a third set.
The weights used, the number of repeats and whether you increase the weights between sets will all depend on what your goal is.
I would recommend that you find someone who knows what they're doing to give you a starter session. You can easily injure yourself with poor lifting technique, and as Jakob said, free weights should really be with someone else around to act as a spotter.