All the beginners feel shy when the enter into the gym because they think that they have to compete with the other. They do not try different exercises because thy think that they will feel embarrass if they fail to do that completely. Not only beginner but also some professional feel shy to come out of their shell.
As a beginner best way is to get comfortable with some exercise like push-ups and pull-ups at home so that you can feel comfortable in the gym. Next way is to find some friend who has gym equipment in his home and you feel good in his company or you can buy some dumbbells and a bench if you can afford them.
The next advice is to do not compare your gains or weight that you lift with the others because there can always be a guy who can be more muscular then you so your goal should be make improvements in your weight that you lift day by day.
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