The point of weight training is to develop muscle mass and definition. In order to do this you must train with weights on a regular and even regimented schedule. Muscle mass is created through your muscles having microscopic tears made throughout the muscle tissue during weight training or any other exercises that involve lifting heavy objects. Over time, this can create a well muscled and defined build on men and women.
When training with weights it is important that when using bi-lateral equipment, dumbbells, or barbells that the weight or resistance is even on both sides, never under any circumstances do you use different weight even if you think one side is weaker than the other and you feel the need to work that side more. The secret in that case is to focus your thoughts on that particular side and over time it will become even.
"Pyramiding" is a term that used to mean the changing of weight between sets. In Pyramiding you usually start with a light weight and do 10-12 reps, then before your next set raise the weight slightly and do 8 - 12, then raise the weight slightly again and do 6-12. How many reps you can do is dictated by the strength you have. As you continue in your weight training regiment you can increase the amount of repetitions or amount of weight.
Increasing the weight you use is up to you. I suggest when it comes to arms increasing by 5 pounds using dumbbells or 10 pounds with barbells. Your chest back and shoulders, anywhere between 10 to 20 pounds, and legs 20 lbs using machines and 50 to 90 lbs on leg presses.
This of course is highly generalized, you need to try the weight starting lighter and going heavier to see which feels most comfortable to you. Keep in mind that you don't feel your workout at its height until the second day, so in your routine if you're just starting out, wait a couple of days before you weight train with those muscles again...