This phenomenon is one of the main reasons I have done some unspeakable things to scales over the years. A much more accurate way to see how you are progressing is to see how many inches you have lost, how your clothes are fitting, or body fat percentage lost. The scale can go up or down 5-10 pounds in one day!
There are typically two main reasons I see for this weight gain. The first is nothing to worry about, while the second needs to be addressed.
The first culprit in this initial weight gain is water retention. This what happens to a lot of people when they start a strength training program. What you are doing when you are lifting weight is actually tearing them down while you exercise.
The process of your body building the muscles while you are at rest is when the magic actually happens. That is why you don’t want to lift weights using the same muscles on back to back days. You have to give the body time to repair itself.
This tearing down process makes the muscles inflamed. With this inflammation comes increased water retention and then the accompanying "My trainer/treadmill/Shake Weight/boot camp does not work, why am I killing myself just to pack on more pounds" freak out. If you are using the Pants-O-Meter to measure success this would not bother you.
The second reason the scale can go up when people first start working out is increased caloric intake. This especially occurs with resistance training because it really gets your metabolism revving, which increases your appetite. Think about how hard it is to burn 800 calories in an hour. Now think about how quick you can put that back in. 10 minutes maybe? You can not out exercise a bad diet.
That is why I recommend keeping a food journal, so you can see in black and white what you have been eating. The rule with the food journal is, “If you bite it, you write it. You hog it, you log it." Feel free to come up with your own rhymes. Everything that has calories that you ingest has to be recorded. Liquid calories especially, don't leave them out. It is a very eye opening experience to a lot of people who have never kept track before.
You can use on-line apps, write it down, however you want to so you will keep track. Use that food journal as a road map to figure out if it is the nutrition that needs to be assessed or something else.
The lesson as always is: The scale is a fickle mistress, don’t trust her.