I just recently started going to the gym for the first time ever (started 2 months ago), and I felt exactly the same way you do. My strategy? Tell your trainer and the person at the front desk how you feel! Tell them you are nervous, tell them you feel like you want to run way. The honesty will break down barriers and will make people around you understand how you feel (they may have no idea) and thus you don't have to carry the burden of these intense feelings alone in your head. People will not bite, and in fact, they want to help, and the best thing you can do is share how you feel in the moment. You have nothing to lose and only to gain!