People usually find it easier to start with something sweeter like alcopops (WKD, Vodka Kick, Smirnoff Ice) or cider (Magner's, Bulmer's, Kopparberg etc.). If you are really sure you want to drink alcohol, then I would start with those and see which you prefer before trying other stuff.
There's nothing embarrassing about it, I didn't have any alcohol before I was 19 (now I'm 21). I remember trying a beer for the first time at an Indian restaurant on my 19th, it was a pint of Cobra, and I absolutely loved it. After that, I tried cider but it wasn't to my taste so I stuck with lager and bitter.
Hope that helped. Feel free to ask more questions.