Women have less muscle mass than men. They are also less structurally stable. Since muscles are what hold bones in place, women should accordingly take special care to keep the smaller amount of muscle that they do have in tip-top shape.
The idea, therefore, that the weight room is just for the guys couldn't be more wrong. In fact, it's more important for females to weight train that it is for men. Furthermore, women shouldn't shy away from using free weights, which require the use of stabilizer muscles much more than weight machines do.
Many women are intimidated by the weight room setting, but thankfully the aerobics room provides a less threatening alternative. Keep in mind that some kind of muscle conditioning two to three times a week, whether in the weight room or in a conditioning class, is just as important as cardio training.
And keep it safe, but please... if you don't want me to yell at you, stay away from those teeny tiny weights.