When you go for the examine you go into the room and completely undress. They give you this paper shirt to wear and a paper blanket to put around you. The doctor comes in and asks you some questions and gives you the opportunity to describe any problems you are having or talk about things that are worrying you. The doctor will perform a breast examine as well as the physical examine. During the examine the doctor will look inside you to make sure everything is fine visually. The doctor will then perform a pap smear which consists of scraping your cervix to collect cervical cells to be tested for cancer. This part is a little uncomfortable in the fact that you will actually feel the doctor scraping your cervix. It isn't painful and really you don't feel much, its just kind of an odd sensation but only lasts for a few seconds. The doctor might ask if you want to be tested for stds which are done by swabbing your insides with a long q-tip. Finally, the doctor will insert a finger inside you and while gently pushing down on your abdomen with their other hand, feel around to make sure everything feels normal and is where it is supposed to be. After that the examine is finished and the doctor may talk to you a little more and then you will be able to get dressed. The whole physical examine probably doesn't last more than 5 minutes although you will probably spend longer talking with the doctor.
Before you choose a doctor you may want to decide whether you would prefer seeing a man or a woman. I have been to both and honestly they have been about the same. Some people prefer women because they just feel like they would be more comfortable with a woman around but its totally up to you. During the examine a nurse will be present the entire time so even if you have a male doctor, a female nurse will be there in the room with you also.
Its really not such a bad thing. The most important thing is to go and get yourself checked out and make sure everything is ok. Thousands of women get it done every day so it is nothing to be worried about. And you have to be completely honest with your doctor about your sexual history - don't be ashamed or embarrassed - chances are really good they've heard it a hundred times before you. Just be honest so that they will know if they need to do any extra tests or things like that.