Everything I've read about weight loss and eating recently points to the conclusion that physical activity has very little to do with burning calories or weight. Activity is good and will make you healthier in many ways, but losing weight and burning fat doesn't appear to be one of those ways. In own research and personal experience, the only significant lever with regards to weight is simply: what you eat. Eat less, but better, food. There's nothing magic about it, but that doesn't mean it's always easy.

If I can find the source I'll add it later, but I've also read research that suggests that even the most active hunter-gatherer tribes in Africa, who might walk 15-20km per day, still burn about the same amount of calories as the average American. Yes, they are certainly more fit, but it might just be that the stronger you get from working out, the less calories you burn anyway.