Is it unusual to gain weight in week 1 of a new diet?

I'm 5'3 and female. My goal is to lose about 40 lbs. I've been working out for about 45 mins every night. For breakfast I have special K cereal w/ skim milk, lunch is usually a turkey sandwich on whole wheat bread, and dinner is a protein shake or fruit smoothie. How could I possibly be gaining weight following this program when I used to never work out and lived off fast food and takeout?

You're not eating nearly enough to sustain your body weight. I suspect that what's happening is that your body is freaking out at not being given enough nutrition combined with a new workout routine. You're probably holding on to fluid and fat.

You need to make sure you're eating a healthy diet of at least 1200 - 1500 calories a day. You need properly balanced carbs/protein/fats to maintain lean muscle.

I'd suggest you read the sticky posts in the various forums - especially the ones on nutrition.