Yeah I know...I'm blowing the dust off of this one, but the issue of proper footwear is critical.
You want something that is going to provide some meaningful support, both of the arch as well as the ankle. They do not "need" to be purpose shoes (ie. the walking designs or similar) but they should be something other than flip flops, especially as the speed/incline is increased. And yes, your body WILL know the difference. I've been using a basic pair of Asics that I was just wearing on a regular basis and that were bought long before I ponied up for a health club.
My usual cardio routine begins with a 30-minute warm-up on the treadmill followed by about the same on a cycle. I've not had issues with the shoulders hurting, but that could be more related to what sort of shape your arms were in (presuming you are walking/jogging in a stride with the arms moving instead of just holding on to the machine like some people do). What you describe about upper thighs is just the muscles being used that do not ordinarily get worked in your regular activities.
You do not want to over-do things, as some measure of pain is your body's way of saying you might need to take a break...but by the same token, muscles need to be stretched. As you spend more time on the machine, you will find that those muscle groups don't yell at you as much as they did in the beginning.
