I would suggest joining your Chamber of Commerce. If you have a local TV Cable station, check out their advertising packages or offer Pilates as a trade.
Put flyers up wherever you can and have a GRAND OPENING party: order a banner for your space that is highly visible.
Offer Intro discounts
Offer discounts to other businesses
Facebook is great
Target the local schools and ask them if they would distribute flyers or coupons for the kids to take home to their parents
Join the PTA
Sponsor an Athletic team
Wear your T shirt with your name /logo on it always!
Create an Pilates Event:
Sign up for business Expos and Health Fairs