Any tips for a guy who wants to join a gym for the first time?

I'm about 20-30 pounds over weight and I want to try getting into shape and could really use some help. I've never even been to a gym so I don't know anything. Also if someone who has been in my place before if you could explain how to get over embarrassment that would be great. I don't think any of the in shape people could realt to the overwhelming feeling of embarrassment of going to a gym when you're way overweight
Any tips for a guy who wants to join a gym for the first time?
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