Ignoring the category of 'no exercise', there are three basic types of exercise that can be performed. The first is cardiovascular or aerobic exercise which refers to any activity that is performed more or less continuously for anywhere from 20 minutes up to several hours (in the case of athletes). Walking, running, cycling, swimming, step classes, the Stairmaster, all of those fall under the heading of aerobic exercise. The goal of aerobic training is to burn calories and improve the health and fitness of the cardiovascular system (heart and lungs essentially) although there are many other adaptations that occur with this type of exercise.
The second is resistance training which refers to any activity where the muscles are forced to work against a high resistance so that you are unable to continue the activity for more than a minute or so. Most people think of this as lifting weights but working with rubber tubing, or many different home machines (such as Soloflex or Bowflex) also falls into this category. You could even fill milk jugs with water or sand and lift those. Or go to the park and lift rocks, or large pets, or small children.
Finally is interval training which is sort of a subcategory within aerobic training; you can think of it as sprint training. Interval/sprint training is performed with the same types of activities as aerobic training but entails working very hard for some short period of time (anywhere from 10 seconds to several minutes) and then taking it easy for some period of time (which depends on the length of the hard part). So instead of performing 30 minutes of cycling at a moderate pace with regular aerobic training, with interval training you would warmup for 5 minutes and then go nearly all out for 1-2 minutes at a time interspersed with 1-2 minutes of easy cycling (you might repeat that 5-10 times) and then cool-down. I'm really only mentioning interval training for completeness as I really don't think it's appropriate or sustainable on a crash diet. I'll make a couple more comments about interval training below.
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