How do I talk to someone

Hi ladies.. so there’s a gym I go to, and there’s this guy that I’ve noticed for a good while now. I’m single, 29.. haven’t been in a relationship in a very very I mean very long time.. I don’t know how to really talk to guys.. we have made eye contact a couple of times and he’s approached me like twice but only to ask if I’m done with a certain machine. I’m really shy and self conscious so when he has I don’t even look at him I just say I’m done and walk off. I guess my question would be how can I approach or just say hi. I know normally guys do that but still. Plus what if he’s married or in a relationship or something, I do not want to be that girl.