Body fat percentage is a very good number to focus on. BMI was developed to be applied to populations and not to specific individuals. A reading from a bodpod will tell you exactly what is going on in terms of your body composition and that's good information to know.
Don't get too freaked about 40 percent. You can change that and, as you pointed out, exercise is key here. Strength training and conditioning, along with a solid nutrition plan and adequate rest over the long haul can do WONDERS for improving body composition. Aim for a minimum of 300 minutes of dedicated exercise a week and, again, don't just go for the cardio and ignore the weights. You want to maintain as much lean muscle mass as you can while you burn bodyfat. There are so many fantastic programs out there. I'm a HUGE fan of
CrossFit as it's unbelievably fun (
here's a list of CrossFit-affiliated gyms).
There are lots of programs you can do at home to or at the gym like
Body for Life or
New Rules of Weightlifting for Women (LOVE this one) or
The Body Fat Solution . All you'll need are some dumbbells which you can pick up for cheap off of Craigslist or garage sales. If you prefer DVD's, there's P90, P90X, ChaLean Extreme or Insanity all from http://www.beachbody.com. I think Insanity is all just bodyweight movements so no equipment is needed to follow that one (and it's hardcore... it'd lean you out very quickly).
Hope this helps give you some ideas!