Congrats on your choice to get healthy, first of all.
As for the gym question, you don't have to go to a gym to get a good sweat going. Walking, swimming, even shopping (my favorite) are all great forms of less intense cardio. And you don't need to burn a lot of calories to lose weight- it's more important to watch your intake. I've lost the most weight when I wasn't working out (because i had less of an appetite.)
As for the particular gym you are going to, you might want to consider switching- I used to go to a gym that seemed like it was all bodybuilders. No fun for me :P
Hope I helped! And happy sweating