If I'm not mistaken, the main way dex/prednisone/etc. causes weight gain is by increasing your appetite. I had a strong prescription of prednisone a few years back, and I couldn't eat enough to stop the munchies. So in that case it's really important to strictly monitor calores and not trust your appetite at all. And fight hard against that appetite.
When you're overweight, and start exercising to lose. the first thing that happens is that some of the fat gets turned to muscle. Muscle weighs more than fat, so it actually increases your weight at first. Don't let that discourage you.
My son, Jonathan (14) has CAH, and we got a treadmill a few years back. He was slightly on the chunky side then. Over the years he's used the treadmill daily, increasing it slowly. He's now at the point that he runs 6 miles a day at 4mph. He's even ran in a few 5k's and did pretty well. I think one thing that helped him is that there was no pressure and no competition. He simply did it, and was only "competing" against himself. I've never felt comfortable working out in a gym, because I always feel like everyone's watching me.
Unfortunately I weigh over 280, and while the treadmill's supposed to handle up to 350lbs, it really doesn't, and we had to have it repeaired after the belts started slipping and some of the internal parts got bent. Now I just let everyone else use it, and my wife and I walk a mile, three times daily (when I'm not swamped with work).
I hope things work out for you and you figure out a plan that will work.