How can I change my negative attitude?

I mostly mean in regards to exercise, but any general advice on morphing my outlook on life in general would be great. I'm very prone to depression and illness, not to mention a bit overweight (5'2", 144lbs), so I know that the exercise will help me in the long run, but the initial discomfort always drives me away. I never see anybody ever having fun while exercising, but everyone says it feels great after a while. That just makes me feel decieved! Plus, feeling sore for days after working out just once makes me feel even less like working out, because that means I'd be sore everyday! And losing weight doesn't even start to show for weeks, which makes me feel discouraged even more. I know I'm just working against myself, but I'd be thankful if someone could convince me of how wrong I am. Help me change my mind about being active!