Yeah I'm calling stj's post mostly non-factual.
It certainly skips a few steps in the process.
I'd actually never heard before that exercise doesn't
burn fat. I would assume that if you either keep your caloric intake the same or reduce it, but add exercise, you are burning more calories than you did before. Worst case (if you still have a caloric surplus), you are converting less of it into fat. Best case, you are burning fat because you have a caloric deficit. Exercise damages the muscle fibers, and protein intake repairs them and builds more.
Am I wrong or isn't that basically the process?