I want to start going to the gym for the first time in my life and could really use some advice?

I'm about 20~30 pounds overweightand really want to try getting un shape but I've never gone to a gym before, I wouldn't even know where to begin. Can someoneexplain to me propper gym etiquette? Seriously even if it seems like a no brainer to you I probably wouldn't know it. And if anyone can point me to some good forums or preferably youtube videos regarding this subject I'd appreciate it. Also I'm embarrassed to go so what time of day are gyms usually empty? I was thinking of going around 8 a. m.
I want to start going to the gym for the first time in my life and could really use some advice?
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