Translation:I work out in a gym two or three times a week.
I've talked with a Dutch-speaking Belgian friend and he didn't agree to use them, referring to a gym when you want to practice fitness. Then he suggested fitnesscentrum. He also recommended me to use the verb fitness maken or fitnessen in place of sporten.
What do you think about his opinion?
That is probably a regional preference. "Fitnesscentrum" and "fitnessen" would definitely be understood in all of the Netherlands, but they are not the preferred terms (in the area around Amsterdam, at least). "Fitness maken" sounds very Flemish to me and might raise some eyebrows here.
Was marked wrong for "at a gym", which is better. Of course you are in a gym when you are at a gym. "At" is used to indicate a place you go to. I work out at a gym. When I get there I exercise in the gym. "At" says you go to a particular gym, or a chain of gyms. Another example: I eat at McDonalds. Not I eat in McDonalds.