Weight training programs are devised to increase strength in one or more muscle groups. Weight training programs vary massively depending on your current strength and your goals. Lots of people use weight training programs to rehabilitate after an injury or operation whilst others use them to stay in shape or compete in athletics or weight-lifting.
The first things to consider when deciding on a weight training program are your current strength level and your goals. You should always put together a training program with the help of a private personal trainer and you should consult your doctor if you have any medical issues.
The main thing with building strength is "no pain, no gain"! Muscle builds up because it's stressed and damaged. If you don't feel achy after your weight training session then you probably haven't pushed yourself hard enough. At the end of your reps you should be really struggling to lift the weights (but if you feel sharp pain you should stop immediately!). The buildup of lactic acid is a sure sign that you're doing things right.