If you have just started working out, most likely you are burning fat but gaining muscle. Muscle weighs more than fat so in theory you could actually gain weight working out but be a lot thinner than you were before you started to work out. Also take a look at these websites:
http://exercise.about.com/od/weightloss/ss/notlosingweight.htm
http://www.webmd.com/fitness-exercise/exercising-not-losing-weight