I know self esteem issues aren't rooted in logic, and so understand you find it hard to get into the gym, but just to say that in my experience unless the gym in question is the most superficial kind of place, most people will just think "good for you" if they see someone big come in. A lot of people there will have started just like you. A lot will still be there.

As for what to do there, either book a couple of lessons or pick up a beginner weight program like Starting Strength or Stronglifts.

The thing is, getting used to the gym is often an amazing self esteem boost for people if you can just get over that initial hesitation.

Good luck either way.