Go to a local bike shop, have yourself fitted for a test ride on a comfort bike (the most likely bike type with a riding position similar to the position of a stationary bike). Take a test ride, get an idea for how the seat feels, if it is more comfortable, it could be a number of factors... First, once fitted for a real bike, use the same type of fit adjustments for your stationary bike. That alone will help with SOME discomfort for most people. The other likely candidates are seat angle (ask how to adjust the seat angle while being fitted) which for females generally should be very slightly nose down, whereas for men it can be generally closer to level.
The last option is the saddle itself. Once you have done all these things and it still doesn't fix the problem, get the toolbox out, remove the seat from the seatpost (much easier than it sounds!) and take it into a bike shop, and explain your problem. This is a MUCH more common problem than you might think, and anyone at a good shop will have dealt with dozens, or even HUNDREDS of people with the same issue, so don't feel embarrassed about asking! Anyhow, explain to them what discomfort you feel, and generally where you feel it (center, sides, inside thigh, sit bones... ) and they can make some suggestions as to a worthwhile replacement. Gel pads as recommended above are a decent method of helping, but they generally start to break down or wander after extended use, requiring cleaning/moving/replacing fairly often. So a dedicated saddle better suited to your physical needs is a better idea.
The reason I recommend taking the seat in with you is that there may be a proprietary seatpost clamp on the seat itself, and if so, the shop will need to see it to be sure they can help you out!