Some of the exercises are simpler and easier than others, but they all have some basic modifications that make them easy enough for the beginner. It is advisable to get a DVD of Pilates and view someone doing them correctly. Joseph Pilates did write a book that outlines how to perform the exercises, but some people are better at visual learning.
The first exercise that everyone should start with is The Hundred. Simply lie on your back with your legs extended (as seen in the top picture) or with your knees bent at a ninety degree angle. Then pulse your hands up and down. Inhale for a count of five pulses and then exhale.
Need to see it? Get the Pilates Power System. It will give you a great overview of the Pilates exercises.
Make sure that you are doing the exercises correctly as it will prevent future injuries.