For weights- you may want to ask a personal trainer that you see walking around for some pointers on correct form. I would pay for a trainer once or twice just until you have the form down- because that is so imperative to getting results and not injuries from weight lifting. (or if you have a friend that can help you with your form- do that) As far as what weight to use- you always want the last 2 reps to be pretty darn difficult! So, choose a weight that allows you to do that, depending on how many reps you are doing.
I know the gym can be intimidating at first- but it is worth it, and usually people are very nice if you have a question about a machine or help with an exercise- so don't be scared to ask!
You'll feel more and more comfortable as you keep going.
But good for you and getting in there
Keep it up!
Bertie