It could be that your body isn't used to the type of exercise you're doing. Or you may be overdoing it. If you're doing a heavy weights session every day, STOP! Either do a full body routine every other day, or if you have to exercise every day do a split body routine. I'd recommend you take some Glutamine, works a treat for aching muscles. Think it's not too pricey for a bottle of tabs in Holland and Barratts
Are you talking about the post-exercise aching?
Two things cause that - you are training above your aerobic threshold and you aren't repaying your oxygen debt.
When you train above your aerobic threshold lactate begins to build up in your muscles which is what causes the pain.
To stop this, you should train less intensively (if weight lifting, lighter weights, if running, a slower pace etc) which should stop lactate building up. You should also remember the importance of a warm down - movement of blood through your veins is aided by body movement, if you keep moving after your workout (walk slowly on a treadmill for 10 minutes or something) the blood movement around your body is more efficient. The increased supply of oxygen should remove any surplus lactate in your muscles