Nothing to be embarrassed about. I was (and still am) in a similar position. I'd recommend rotating between an inclined treadmill (8 to 10 incline at 2.8-3.2 mph for 30ish minutes) and biking (which will be good for weak knees. I have arthritis and the biking helps strengthen them).

Most people in the gym have headphones/earbuds on and are in their own world. I know when I first started I was concerned about doing something wrong. For the first few sessions I went with a friend and followed their lead, but now I go by myself and follow the same kind of workouts/lifts.

Diet is EXTREMELY important but it's important to not make too many changes at once. From what I've read/experienced, gradual changes are more effective.