First of all, where is the pain? Is it in the shins? Because that might be a condition called shin splits that people get from walking/running, and might not be actual fatigue. Always stretch your legs and calves properly before walking/running. I don't think anyone who suddenly starts running after a long period of not exercising would be able to run for more than a minute.

 Your other problem is that you probably haven't exercised in a long time yet think it ok to suddenly start running. You need to start out small and ease yourself into it gradually, or your body will not respond well. Start by walking, 10-20 mins a day. Try going outside and not using the treadmill, for walking at least. Ideally in a park. Keep increasing either your speed or the amount of time you're walking for week by week. If you're able to brisk walk for 30 mins - 1 hour, its a good form of exercise. Eventually moving on to jogging would be a good idea. Leave running/sprinting for later. 

Besides using a treadmill/cycle/elliptical, there are many ways to exercise. Stretching and working on flexibility is always recommended. It'll help you perform exercises better while making sure you don't get unusual pain or discomfort or injure yourself. You could join a yoga class. The other alternative is to take up a sport, but again I wouldn't recommend that right off the bat. Its better if you stretch and maybe join a gym to strengthen your body before getting involved in a physically taxing sport. 

Try to decide on what your goals are for exercising. Strength? Stamina? Endurance? Speed? Power? Losing weight? Looking better? Overall fitness? In all of these cases joining a gym will help. Even if you want to look better, simply losing weight by running won't be as good as improving your overall body composition by losing fat and gaining muscle. As a woman, you will never gain as much muscle as a man without using steroids or using a drug to enhance testosterone levels. Women SIMPLY do NOT have the testosterone levels required for becoming bulky like men do. So get that out of your mind, it won't happen. Working out using both weights and cardio will likely make you look like Jessica Biel, Kaley Cuoco, or Gemma Arterton. These are just famous celebrities off the top of my head that I know for a fact work out regularly, and they look like they do too. 

The issue with being a woman and joining a gym is that most local gyms who don't have highly educated or experienced trainers tend to train women very badly. They won't let them handle weights at all, in the fear that they'll hurt themselves and blame the gym. They make women do all sorts of weak exercises that do little or nothing to help you move towards your goals. What you should do is find a gym that you know from other people's experience has trainers that actually help women, and push them to their limits as much as they push men. If you go to a gym and find the trainers making women run on the treadmill or use the bike all day long, or if you find that not a single woman is sweating, you're probably at the wrong place. 
In my experience, crossfit gyms are a good place to start. Crossfit gyms tend to focus more on overall fitness than just trying to look good, and they have a good reputation for putting women through grueling work outs too. The problem though is that the trainers mostly don't give enough attention to each client, and let them perform exercises with bad form or with obvious mistakes. Just make it a point to keep asking the trainer and keep trying to learn. Question them regularly and they're more likely to help out. With the amount of clients they have, they won't push you unless you ask them to.