Start slow. If you are just starting out being active don’t over do it. Don’t expect to accomplish all your goals in one session or week. Gradually build up your endurance and work towards increasing your speed and time. Training for a marathon doesn’t start with running 26 miles.  
Use proper safety equipment for you activity. If you are riding a bike: wear a helmet, if you are playing soccer: use shin guards. If you are planning to run or walk, be sure to have a proper pair of running shoes.
Drink plenty of fluids. Being hydrated begins long before you start a work out. Hydrate even as early as the day before, during the day and after your workout.  Drink even if you don’t think you are thirsty.
Exercise should not be a painful thing to do. It may not always feel comfortable and  soreness is a common thing but it shouldn’t cause intense pain. If you are experiencing dizziness, chest pain, trouble breathing, nausea etc. then stop your activity. Don’t push it, take a break.