If you are wanting to lose weight overall then like foreverondiet says, the key thing is the way you eat, you cannot out exercise a bad diet. At the end of the day weightloss is around 80% good eating, 20% good exercise.
Whilst running is good exercise, long steady state runs are not the best way to shape your body for various reasons. During longer runs once your body depletes it's glycogen stores in the muscles it burns lean muscle for fuel, not fat. Also, if you run three miles, three times a week in 30 minutes then every time you do that run your body manages to do it more efficiently, ie you will burn fewer calories each time you do it. This is why high intensity interval training is so effective at not only improving fitness levels but at burning calories, as you can keep pushing yourself out of your comfort zone and keep challenging your body every session. So, if you were running you would do a slow jog for one minute, and then sprint for one minute, alternate between the two for 15 minutes. You could do the same approach on the rower or cross trainer, or you could do hill inclines on the treadmill. The key is to really push yourself so that when you get to the end of the one minute sprint section, you need to feel that you HAVE to slow down to recover for a bit.
Weight training when done properly not only builds lean muscle (which in turn increases your metabolism so you burn more fat when at rest) but is also what most people think of as a 'cardio' workout, provided it is done properly with short timed rests in between sets, and you use a heavy enough weight to challenge yourself. Also, after weight training your body continues to burn more calories at rest for several hours, steady state aerobic training does not have this effect.
If you run, weight training is still a good idea as running can make you very hamstring dominant. Using weights can help strengthen every part of your legs and help prevent imbalances which can lead to injuries.
Women are often put off using weights in fear that they will bulk up (which is nigh on impossible due to lack of the necessary hormones). This is made worse by muscles often initially reacting to a new exercise regime by temporarily filling with water to help repair and rebuild leading to a 'swollen' appearance. This disappears after a couple of weeks providing you drink enough water so your body learns it doesn't need to retain extra.
Those abductor/adductor machines that you sit on at the gym to work your inner and outer thighs do not do a thing that properly done squats and lunges can do 100 times better IMO. I am yet to meet a qualified trainer who would actually recommend using them.