If you want to lose weight, you can't do it by exercise alone, suggests Does Exercise Really Make Us Thinner? - you need to change your diet as well:

As for those people who insist that exercise has been the key to their weight-loss programs, the one thing we’d have to wonder is whether they changed their diets as well. Rare is the person who decides the time has come to lose weight and doesn’t also decide perhaps it’s time to eat fewer sweets, drink less beer, switch to diet soda, and maybe curtail the kind of carb-rich snacks—the potato chips and the candy bars—that might be singularly responsible for driving up their insulin and so their fat.

Luckily, once you start exercising, you'll find that you eat better too, because eating junk food and cakes doesn't give you the stamina you need to exercise. For example, yesterday I ate a piece of apple cake in the mid-afternoon. When I went out for my daily walk, I felt that cake... I had much less energy. I've noticed this many times. Yes, I can eat empty calories if I want to, but my body works less effectively afterward.

So while exercise can never be the complete solution to weight loss, exercise does have an important function - it gets you to pay attention to your body. When you listen to your body, you'll soon discover what foods give you energy, and which foods steal it away.

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