Hey, Max. The first thing you need to do is stop being afraid of the gym. I felt self-conscious at first too, but believe me, everyone at the gym is too focused on what they're doing to pay much attention to you. As for not knowing what weights to use, here's the rule of thumb: use the highest weight you can use while still maintaining good form, and that goes for free weights, pulleys, machines, etc. For example, let's say you're doing shoulder presses with free weights. You try 20, but they're too heavy--you have to really heave with your whole body to get the weights above your head. So, you drop down to ten, and find that those are too easy--you can do a full set easily (speaking of sets, with just about every exercise, 4 sets of 8 reps works well for me). It seems logical, then, that your ideal weight would be 15s. These would be ideal in this case because they would challenge you, but not so much that you abandon your form trying to do them, and definitely not so challenging that you endanger yourself.
The other thing you're going to need to do is EAT--maybe in the ballpark of 2400 calories a day--to gain. The importance of this cannot be overstated--you simply won't gain weight if you don't eat enough. I'm not talking about garbage, either. I'm talking about quality food. At dinner, ask Mom for
some extra chicken cutlets. Instead of just having cereal for breakfast, have some whole wheat toast or yogurt on the side. Little changes can add up.
Also, the fact that you're 14 is significant. There are a lot of things people say about working out during puberty--that it will be very easy to gain muscle at this stage, that certain exercises will prevent you from getting taller, etc. Best to consult a doctor about this kind of stuff.