I've always liked classes and now many gyms offer strength training related classes. If you are working out a gym, I'd recommend looking into that option.

If you are just working out on your own, a couple things to keep in mind.
1) Make sure your technique is correct. A consultation with a personal trainer or if that is too pricy, watch videos and read the instructions on the machines. If you don't know how to use the machine or do an exercise, I've always found plenty of people are perfectly happy to give advice.
2) Use the right amount of weight. Only you can judge how much weight you can safely use for an exercise, but if you can finish 3 sets without much trouble, consider using a heavier weight. If it's not hard, you won't get stronger
3) Don't forget bodyweight exercises. Push-up, sit-ups & squats (and their many variations) are excellent ways to build strength. Add a medicine ball for an extra challenge. For ideas: http://goworkoutmom.com/2008/03/101-body-resistance-exercises-for-strength-training/

But, if classes are option for you, I'd consider that as a good place to start. I'm one of those people who wander up to the gym not knowing what to do without them.