It isn't listed under activities, but you can cheat a little and put it under "health club exercise, general" for the amount of time that will give you an accurate calorie burn. I don't know if there's a better way to do it so that you can track miles and all, but this is the way I enter my work out if I don't see it on the list. If you don't have an accurate way to know how many calories you burned, you can use the website:
The Most Accurate Calories Burned Estimator
It was mentioned in a thread by someone here (sorry, can't remember who it was) and it's a great tool. Hope that helps.