I went to a local gym ("leisure centre") under the GP/Physio referral scheme, and quit after five weeks. The trainer that was supposed to sort out a program for me did not consider how long it would take me to get on and off each piece of equipment. The "supervised sessions" were anything but supervised. It took me six weeks to get over the effects.
With hindsight, I should have dumped most of the program on the second week, and stuck to the treadmill, alternating with one of the weight machines for my chest and arms. Had there really been some sort of supervision, I could have discussed this. I e-mailed the trainer responsible for the program telling him why I was quitting, and his response was along the lines of "Well, it was a gamble, you do have MS".
So, exercises that the physios have shown me, some exercise with hand weights, but I am just about holding steady. I wish I could go and have some regular sessions with a treadmill (particularly now I have FES on my bad leg).
If you get a good trainer who will look at what you are capable of doing, and come up with a suitable program for you, and you stick to it, then it will surely do you some good. But do please take note of what Karen has written above about having company.