Jillian Michaels' Fitness Ultimatum 2009 takes you to a "fitness boot camp." When you start a new game, the first thing you'll do is create a character. As I've mentioned, there's a severe lack of characters so just pick the closest that you can. After that, there are several camp locations that you can choose to go to. The Office is where you go to manage your character profile or create a new character. Each person can have their own character. You can change your clothes at the Office daily, if you want.
Of course, you have to eat when you're at camp. If you go to the Cafeteria, you'll find all the dieting tips that you have unlocked so far. The only problem is that you have to unlock these tips, so they don't give you anything to start your diet with. A lot of them are common sense anyway, though. Another thing you'll probably want to check on from time to time is your weight loss. You can find this and all the rest of your exercise records in Stats.
I am guessing that a large part of your camp time will be spent in Training. The first thing you tell it is whether you want to work on weight loss, intervals, strength training, or hill climb. Each of these are targeted with a different goal in mind. Then you tell it how long you want to train for and how hard you want your workout to be. After all that, you can then choose how many and which exercises you want to do. There are 11 different exercises total. You can also play with a friend if you choose Multiplayer. The one catch to multiplayer is that the balance board cannot be used in a multiplayer session.