First of all, why does it matter if you are male, straight, or whatever? If you are interested in dance then that's all that matters! Go out there and dance!
Second of all, if other people think that you're being stupid or lame for taking up something so "feminine", then ignore them because they're not worth your time. People who are truly on your side wouldn't judge you and insult you for the things you do (unless it's actually against the law like doing drugs or killing people). It makes me sad that people still think that "this thing is only for women" and "this thing is only for men" when really anyone can do anything they want (unless it's something to do with physical differences, such as getting pregnant).
You know, dancing is only considered feminine because mostly girls do it nowadays. But just because it is mostly a girl thing, doesn't mean that guys can't do it and it doesn't mean that you lose parts of yourself for it. You're still you even if you dance. You're equally as male as any guy you know who plays football or weight lifts or does any other so called "manly" things.
Another thing that bugs me is that why are guys so afraid to be considered girly or feminine? Yes I know, you guys aren't actually girls but why does it matter if you are called one? No matter how many times someone calls you something that you aren't, you won't one day magically turn into that something, so there really is nothing to fear. Also what's so bad about being a girl? We are not the lesser gender or the superior gender. We are equal. Both males and females have their ups and downs and it's about time that we all realize that so we don't deem either gender as being more or less. Second of all, whoever thinks that that is an insult is an idiot because there is nothing inherently wrong with being feminine. If someone calls you out on it, you can call them out too by asking if they think that females are so bad that being anything like one is taboo (because when you think about it, that is really what they are implying).
All right, my point is you shouldn't feel embarrassed about dancing and you should go on and do it if that's what you really want to do. I mean I can understand if you are nervous since it's a new thing for you and you may not know anyone in the classes yet but you shouldn't feel bad about it in fear of being considered feminine. Just remember that dancing won't make you feminine. Someone calling you feminine won't make you feminine either. Also remember something that is considered feminine is not automatically a bad thing. That's why just put this whole femininity thing aside and do what makes you happy.