Just be patient guys, as I'm sure you already are though. My girlfriend was the same way. She was also embarassed to first few times we shot. I just explained to her that everyone started somewhere. There was a single person that could naturally hold a gun perfect or shoot perfect scores every time.
Something that helped me too was that there is a guy that shot in the olympics out at the range I go to. Now my girlfriend is not one to ask for help in doing stuff, due to her fear of looking stupid. The best part about this guy, was that he didn't ask if she needed help, he just started helping her because he new that she needed help.
Now she is more comfortable shooting around other people, probably partly because she just did it one day and got it over with and secondly because she had a good instructor to coach her into breaking clays. In fact we drove out to the range today to shoot a round, but the range changed their hours on me.