I hear that. Congrats on joining your first gym. The best advice I can offer are these four things. First know that just getting to the gym is over half the battle. You have to push yourself to go sometimes. I still do. Its easy to say "Aww Ill just skip today and hit it hard tomorrow" then the next thing you know you havent been in two weeks.
Focus on your form. Forget heavy weights. Work with light weights until you get your form down. Using bad form is extremely counter productive to what you are trying to accomplish, and will not get you the results you are after. It can also get you hurt. Block everything else out of your mind and focus on the muscles you are working and the form you are using.
Stick to weights you can handle. Your not there to impress anyone else. Your there to improve your health, well being, and body. Lifting more than you can handle is counter productive and can cause injuries.
Lastly, dont get discouraged over how other people look and be self conscious. Everyone was just starting out once. Also everyone is usually so focused on what they are doing that they are not looking at how other people in there look.
One more lastly. Dont get discouraged over weight loss and weight gain. If you are lifting then your going to gain muscle as well as lose fat. Lean muscle weighs more than fat does. Take measurements of your body and only weigh once a week. You will be suprised how much difference that can make, when you can actually see your progress as opposed to a number on a scale.
Have fun with it and enjoy it. If there are any questions you have or help I can give you just ask me, and I will help you to the best of my abilities.