[achompas]

You're probably lifting too much weight, or leaving the gym too early. I know this isn't helpful, but you should be exhausted once you leave the gym.

[jules]

How much weight should you lift? How long should you spend in the gym?

[achompas]

It's more complicated than a simple formula. If we're talking about olympic lifts (squats, deadlifts, clean & press), start with the bar and increase 5 lbs every day until you start hitting a limit.

Check out Mark Rippetoe's "Starting Strength" [1] for more info. Great program for anyone new to weightlifting.

[1] http://startingstrength.com/