Hi Etheral
I used to go to Pilates classes, and honestly, I wasnt too impressed by it...but, I think that was just me personally as I had been so used to aerobics!
The movements are so small and I think it is easier if someone actually shows you...I know I have had videos (showing my age) in the past and they just dont show you how you should stand correctly and how to hold and breathe.
I would suggest maybe going along to a class for one night and then you can get a hang of exactly what you should be doing.
in saying that, you should feel too much pain, although you should realise that you have used your muscles.
good luck!