Many newbies pedal with too much force at a rate which is too slow. This burns up your thighs with lactic acid.
Most experienced riders select an easier, lower gear and spin pedals at a faster rate. You go the same speed, burn the same calories, but spread the effort between legs and lungs better.
To find a lower gear, put the front gears in the middle ring (usually marked 2 on controls) If you only have 2 rings up front, use the smaller one.
At the back start with the chain on 2nd or 3rd from biggest (marked 2 or 3 on your control)
If pedalling becomes too easy, change the rear to a bigger number (smaller cog). If it gets too hard, change down to a smaller number.
When you shift gears keep pedalling but ease up on the force you apply.
Ride at an easy pace for 10-20 mins. The first few weeks are all about getting used to being on the saddle. You can't do any 'fitness training" until you are comfortable riding, so don't push yourself hard yet.