The more intensive the exercise is right. You need to get your heart rate up an keep it up, normal side effects to watch out for are heavy sweating, having to breathe fast/being out of breath and having to stop after about 20 mins as you need to take a few mins out.
But work your way up to intensive exercise, cardio can be done in many ways, interval training could be useful to try to increase your indurance. 2 mins working hard, 1 min off to catch your breath (still moving but not as hard). Repeat as much as you can for 20-30 mins then move onto something else.
Building muscle will also help you. Its basiclyu because your buidling more body mass and body mass requires energy to keep it going. BUT! Muscle gram for gram requires more energy then fat does so it takes up less space but requires more calories at rest meaning you drop a dress size but maintain the same weight. You can build muscle by using weights or training cardio under resistance, say running up hill, cycling with the resistance up, higher levels in the elliptical machine yet maintaining the same speed as you would at a lower intensity (its no good going slow on a high intensity it just wont do anything or any real value and your missing out on a huge opportunity by not keeping up the speed.)