If you're going to be using your Proform treadmill for keeping fit and your running training, it's a good idea to wear the same clothes when training on your treadmill as you'll be wearing when you're running.
You would be surprised how many new runners want advice on what - if anything - to wear under their shorts.
Men's running shorts usually include an inner liner, designed to support their equipment, so men don't in general wear underpants under their running shorts.
Some women's shorts and running tights are lined and have proper gussets - these can be worn without knickers underneath if you want. Otherwise, there is often a seam just where you don't want it, which would be very uncomfortable without underwear. Many women wear knickers under their running shorts or tights in any case, for comfort or in case their shorts are otherwise too revealing (especially since some materials become quite see-through when wet).
When it is very cold, runners (of both sexes) sometimes wear thermal underwear under their shorts to keep warm. The key to good thermal underwear is that it should be windproof. Helly Hansen makes thermal underwear designed for sports, available in both men's and women's versions.