Classes will usually start with a gentle warm such as jogging or cycling to gradually raise your heart rate and warm up your muscles. The session will then use a number of different exercises which are specific to the goals that you are trying to achieve. So if you are hoping to run a half marathon, you might do some cardio followed by exercises designed to develop muscular endurance. Or if you are looking to develop strength you might perform a number of resistance and body weight exercises.
All of these exercises will be closely supervised by your trainer who will give you pointers whenever they think your form could be slightly better.