With your muscles usually hands and arms.
It also means leg training as well. You would want to use dumbells, barbells and weight machines to train your entire body. Arms, legs, chest, shoulders, back, abs. Each time you weight train, or as the question says "lift weights". You need to decide what are the goals you are trying to accomplish.
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Firstly, start small. Focus on the movement of the muscle you are training. Find the groove, find the feel, and find your range of motion. Start with very small weights until you get used to the movement of each muscle, throughout each exercise. This wil also ensure you dont destroy your joints. Breathe properly to force oxygen into your muscles, and do it all slowly. You'll know when your ready to increase the weight. Make sure you eat properly too, nutrition is 70% of building muscle. Good luck!
It's critical to learn proper exercise technique; otherwise, you will either injure yourself or you won't train effectively. Get some help from an expert. The fellow in your local gym with big muscles may not be an expert. If you are able to find someone to help you get started, figure out some way to pay back that person for his help.
Alternatively, do some reading. The best available book is Stuart McRobert's BUILD MUSCLE LOSE FAT LOOK GREAT. It's not perfect, but it's close. He uses photos and full descriptions to teach you how to train safely and effectively.
You can also find free videos online. However, they are not all of uniformly high quality and many are not very helpful. Start with McRobert's book and, if you want, use online videos to supplement them. It's also possible to find some DVD's that are helpful.
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Primarily there are two ways:
1) You build extra muscle. Extra muscle means higher capacity of weight can be lifted in theroy.
2) Your body learns to activate more muscle fibres. When ever you lift a weight you never ever activate 100% of the muscle fibres, stregth training will allowyour body to activate more of these fibres at once and thus lift more.