Yes, It would mean changing clothes but the last sentence doesn't make complete sense. It should something like "I really don't want to get changed for exercise.".

Yes, it means exactly that, changing clothes to something more appropriate to working out.

"I really don’t want to do it when I’m getting changed." = "I really don’t want to exercise at the same time as I’m getting changed." I am sure this is not what you intend to say. "It’s really difficult after a hard day’s work to come home and then prepare for your exercises." This is very clumsy. I suggest you say this instead: "When I get home after a hard day's work, I really don't want to change for exercise." It is better to use the uncountable form of exercise here. Treat it as an activity, like football, ballet or swimming.

Yes, but the timing is strange in the last sentence. A more likely sentence is: "While I'm getting changed (in to my exercise clothes), I don't feel like starting (to exercise)."

Hello yes it does, but it would sound better like this; It’s really difficult after a hard day’s work to come home and then prepare for your exercises. It's really difficult after a hard day's work, to come home and have to get ready to do exercises. I really don’t want to do it when I’m getting changed. I really don't want to get changed all over again.