Perhaps you're looking at it too long-term. Just go for a walk today. Don't commit yourself to changing your entire life, don't say, "Okay, from now on I'll walk every single day (and punish myself, perhaps unconsciously, if I don't.)" Just today, walk around the block. If you're very concerned about your body image, put your laundry away one piece of clothing at a time, so that you walk around your house several times. But that's it. Just today. When you wake up tomorrow, ask yourself if you'd like to do it again. If you want to, great. If you don't want to, don't. The next time you answer the question, "Yes, I'd like to walk today," then do it. I'm betting that after awhile you'll answer the question "yes" more often than "no." But for right now, don't think of it as a life-changing decision.
I, too, have terrible social anxiety and have just decided that I am not the exercise class type. There's no shame in it.
Just a tip: I bought myself a Fitbit, this little gizmo you wear on your clothing. You can connect it to your computer to help log calories, steps taken, keep a journal, and get badges for reaching step goals. It is totally private (unless you choose to share it with friends.) No group meetings, no public weigh-ins. For an introverted, socially-anxious person like me, it's a great motivator. It will tell you how many steps you took putting away your laundry, and it's nice to see how little things add up.