Other way of combatting the weight gain is Tae Bo. You can get DVD's that are absolutely fantastic, with a great instructor and you can do it from the comfort of your own home. You could combine that with the walking exercise or something else that gets you out of the house (Sunshine is good for depression... it aids the processing of Vitamin D).
As Karen has said, please dont get disheartened by the weight gain. It happens to a lot of people but when they change their lifestyle to combat it, they are fitter, healthier and more energised than when they were when they started the meds. So in that sense (Warped I know!) the weight gain is good as it motivates you to get a better lifestyle.