Actually, a lot of gun clubs will store your gun for you, giving you the best of everything. That way, if you eventually become comfortable enough (or frightened enough) to actually want to carry it (if it's a handgun, and you have the proper licenses and permits) or store it at home, you can.
Also, it's unlikely that you'll be able to borrow a gun from the club. More likely, you'll rent it, at an exhorbitantly high rate.
Another piece of advice is, whenever possible, buy your ammunition somewhere other than the gun club. That's where they make their big money. Some gun clubs allow you to bring in your own, while others require you to buy it from them (much like the movie theaters with popcorn...).
Also, you should find a club with experienced instructors. Ex-military, especially those who have served as instructors during their service time, are especially good at putting people at ease.
Trust me, if you have a good instructor, you won't shoot yourself in the foot. I learned how to shoot in the Boy Scouts, from a guy who had just finished a four-year hitch in the US Marines. I don't shoot much, but I remember everything he ever taught me...
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