Why am I gaining weight instead of losing weight?

I recently just started the 30 Day Shred workout dvd with Jillian Micheals as the trainer. It guarantees a person can lose up to 20 pounds by the end of the thirty days. There are three levels, and you do each one for ten days. I'm still on level one and today was my sixth day. I know it might be too soon to see results but I couldn't help but weigh myself and notice that I haven't lost anything, but I've gained weight! I'm also on my period, so I've considered that might be the reason, along with it might just be muscle weight gain. I've really been watching what I eat and I'm drinking nothing but water with lemon. Any suggestions?