I hate to be the bearer of bad news but you wont make too much progress while still smoking
. The good news is that once you start exercising, it makes quitting soooo much easier to do (im speaking from first hand experience).
As far as starting off, you need to set a goal for yourself first. After that, you can talk to one of the trainers that work at the gym and they will help you pick the best exercises for you to do (use the trainers, that is what they are paid to do).