Support Groups????

So as I browse the web I see more and more talk about support group for weight loss. As in the are either highly recommended or even necessary.
The problems I have with this is I really do not like to lean on people or even open up. I like to think that I should be able to do this on my own. Plus I do not want to be embarrassed when I go to use a piece of equipment or go do something and I am to fat to fit or do it. It is bad enough by my self I do not want an audience for such things. For example at the gym I just started I have already found 5 machines or things I am too large to fit in to be able to use. I do not need anyone around to see that it is depressing enough as it is.
So is a support group really good and how do you go about finding one that can truly understand that you do not fit in this world and just need help and a push to change that.