How do I strengthen my legs?

I’m 26 years old and unfortunately I have led a very lazy and sedentary life. Although I am not obese, I do have managed to really screw up my body. I am about 20–30lbs overweight and I have excessive cellulite plus my legs are filled with varicose veins. My boobs are oh so saggy and I can see a double chin when I take pictures of myself. I have begun to “work out” and given up oh so many times because I always feel weak! The two main problems I always run into are my weak legs and my weak lungs. I cannot run/jog for too long because I run out of breath and both my shins and caves begin to hurt within minutes of my work out. So, what should I do to build leg strength and resistance and what vitamins can I take so that I do not feel weak as I attempt to get back in shape…for the 500th time?