The first thing is not to worry......I have been going for 4 years now, and it's one of the first things I do.
Some have a sauna first, others you go into the Hamam which is a large, marbled/tiled, domed room. There are seating slabs around the outside, and a large marble slab in the centre. It is hot and can get a bit steamy, but there are water faucets, where you can splash yourself with cold water to cool off....It does make you sweat. The ladies can wear a bikini or swimming cossie, the men usually wear trunks/shorts. Then after you have sweated a bit and relaxed on the slab, turkish guys come in and have olive soap in what looks like a pillow case. They use a small loofer type mit to exfoliate the dead skin, after soaping you, and then you go off for a cooling shower. You are then wrapped in towels and go outside to sit and relax with a drink.
There is usually the option to have a massage too, and I would really recommend having that - it totally destresses you, and you feel absolutely wonderful afterwards.
There is no need to be apprehensive - just go with the flow, relax and be guided by those who do the cleansing and massaging.
ENJOY - I do!-

Hope this helps
Andrea