The description for this achievement is horribly misleading. To get it, you need to do a Program session 5 days in a row, by selecting "Continue Program" from the "Personal Training" menu. Quick Start, 5-minute, and Challenge will not count towards this achievement, even though the game refers to them as "sessions" everywhere else.
Note that it doesn't matter how many days per week your program is; the game will happily let you opt to do extra sessions. The achievement should pop right after you select "Finish" at the end of the workout on the 5th day.