I'm Hurting All Over

Although I never feel that way to start, by the end of it I'm glad I worked out.  I'm still trying to fight my weight.  And not only am I trying to counter that with elliptical and some time on the treadmill, I am starting to incorporate stretching and kettlebells, too.  I've looked up some exercises online and, assuming I'm doing them right, I feel like I'm getting stronger, and that's something I need (regardless of whether or not I shed pounds) as I, ahem, get older.

With that said, since I've started working out on the regular, my body has started to hurt.  Oftentimes it's my knee joints, which I feel when I'm pounding on the treadmill.  (I also feel it sometimes at work after I have been sitting for some time; I don't know if they're related.)  But tonight the outside of my shins hurt, and bad.  I'm guessing working out those muscles while doing the kettlebell did it.  But if you do the exercise properly, it shouldn't hurt, should it?

Some years ago I picked up free boxes of Osteo Bi-Flex.  At the time I couldn't think of a reason I would use them.  Well, I can now.  But does it work, or is it just quackery?