Ask if they have a personal trainer who can walk you through the gym and show you how the equipment is used. Any good gym will be willing to do this for any new member, free of charge. Additional visits with the trainer typically cost money, though.
Pick up a copy of Men's Health. I've found the advice, articles, and tips in Women's Health to be helpful, and they often share stuff with MH. It will give you some things to look for/do at the gym, and give you ideas for your workout.
As for looking like an idiot--chances are that you're the only one who thinks so. At the gym I used to go to, people are too focused on the TV in front of them while they exercise to even really notice other people. Or else they're like me, with the iPod on and wrapped up in that. It's not really anything to worry about.
Just put on your headphones and go for it.
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If I am not better, at least I am different. --Jean-Jacques Rousseau
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