BMI isn't what you want. Body fat % is what you want. BMI is just a ratio of your weight to your height, nothing to do with fat. Floor scales with built-in fat monitors aren't very accurate, but there are some good handheld electronic ones you can get online for under $50.
It's perfectly normal to gain weight at the start of a new workout program, especially if you normally have a sedentary lifestyle (which you said you do). You're kinda shocking your body and it doesn't quite know what to do with itself yet. So you'll gain a few pounds of muscle before your body starts to burn off the fat.
Remember, it's not the number on the scale that's important. It's your body fat % and measurements (waist, hips, etc.) that are what you should watch. Last time I started a new program (P90X), I only ended up losing about 6 pounds overall over 90 days, but I also tracked my body fat % and it turned out I had actually lost over 25 pounds of fat but gained 19 or so in muscle.
Just keep at it! :)