When you start doing more exercise, your body begins storing more fuel in your muscle cells, where it can be used easily and quickly to fuel your workouts. The process of converting glucose (carbohydrates) into fuel that your muscles actually store and use (glycogen) requires three molecules of water for every molecule of glucose. As your muscles are building up glycogen stores, your body has to retain extra water for this purpose. That's what causes most of the initial weight gain or lack of weight loss. This is a good thing—not something to worry about.