I'm worried I won't remember the exercises and will look silly.

That's the last thing anyone worries about here - quite the opposite. When a person forgets the exercises, to us it's a good sign: it means the mind has finally relaxed and stopped controlling everything, and that's half the benefit of the practice. The trainer shows each exercise, and it usually goes in several repetitions: the first one is learning it, then the body takes over. You don't need to memorize anything in advance and you don't need to already 'know' how to do anything - just come, and the rest is on us.