College, especially first semester of freshman year, isn't necessarily fun. It's a big adjustment for most people. Just hang in there.
I definitely agree with the other posters that you should consider joining some sort of club, whether it's related to your major or is just something that you're interested in. You'll meet people in a group setting, so there probably won't be much pressure for you to talk if you don't want to. You don't have to be thin or say really profound things to make friends, you just have to put yourself out there and participate.
If you're not comfortable exercising yet, just focus on eating well. Calorie counting is pretty easy, and there are campuses that have Weight Watchers meetings or their own weight loss program that students can get involved in. Does your school have a dietician that's available to students? That might be worth checking out.
I think it's unlikely that people will laugh at you if you go to the gym. If they do, it's a reflection of their own immaturity and insecurities, not you - and that's not something that's worth staying unfit for. If you're just not comfortable enough at the gym to work out regularly, there are other ways to get exercise on campus. Just taking a brisk walk around campus for 30 or 45 or doing a fitness DVD in your room would be good (bonus: even just going for a brisk, 45 minute walk can help alleviate stress and unhappiness). Are there PE classes you can take? I took a couple 1 credit PE classes in things I was interested in when I was an undergrad - even though I was by far the heaviest, most unfit person in those classes, I still learned a lot, got some exercise, and met new people.
You can do this.
There are a lot of students on here, so there a lot of people who know where you're at and can give you support. Have you checked out the 20-Somethings board? There are usually a lot of college people on there.
Edit to add: If you're feeling depressed, please consider making an appointment with an on-campus counselor or at least tell your RA how you're feeling. You don't have to suffer in silence.