I also signed up for a gym training and as I could remember, I only completed around 2months of the training. But prior to that, I also do exercising at home in which I have an app that helps me to exercise by providing different sets everyday. As I compared the results, I lose more weight after I went to the gym, and I saw the progress on my body. But yes, I also felt shy at first because I don't know anything about that, good thing that I had a trainor, but when I get used to it, my feeling of being shy will diminish. I will suggest you to bring some of your friends with you to the gym so that you won't feel shy anymore and that could help you be more comfortable on your gym.