If you want to train your legs, the dumbbell lunges exercise is a great choice. It is rather safe to do and all you need for them is two weights in your hands and then making a big step forward.
The muscle mainly targeted with this exercise is the quadriceps – the front of your thigh. But lunges are a compound exercise, which means some others work along as well and we can shift the emphasis through the way in which we do the lunge:
When To Do Them
It’s best to make them part of a complete schedule, as for example this one here. And, as that workout description mentions, you may want to consider a hamstring exercise to go along with it, as solely exercising the quadriceps can lead to muscular imbalances.
If You Don’t Have Dumbbells
If you lack the equipment, that’s no problem either. Practically anything that provides a resistance (something to work against) can be a piece of exercise equipment. This (slightly corny, ahem) video shows some ways to improvise, including alternative weights for dumbbell lunges.