If you've never exercised then what would make you feel like you should know what to do? When you start a new job do you know what to do? The feeling of not knowing is what stops people from doing so where do you start? The best suggestion is to just start and start with something you like i.e. dancing, walking or bicycle riding. Once you start to feel the benefits (more functionality, being less out of breath, ability to think more clearly, improved sleep, etc.) it will enhance your motivation to exercise and increase your confidence to try other things and build on what you are currently doing.
It also helps to get through the initial new period by bringing someone else along. Bring someone who you can laugh and have fun with. Being new and not knowing can be humbling but humbling feels better when you have a close friend or family member to share it with.
When you go into a gym it's also not surprising that you don't know what you are supposed to do. You are alone, in a gym, with a bunch of unfamiliar people and peices of equipment. Try and find someone who does know and ask for help. You may even hire a personal trainer for a time or two to help get your established.