Start learning slowly. Before going to a club to do line dances, learn a few of the basic steps and practice them at home. You can do this by going to the club and watching the more popular dances and getting a feel for how they work. Many line dances use similar steps in different combinations, so getting familiar with them is crucial. Many country/western clubs have an instructional period at the beginning of the night where you can learn basic dances.
While it is tempting to stand near the edges or the back of the line, don't succumb. Many line dances can end up with the back row in the front, not a good place to be as a beginner. Try standing near the middle. Be aware of the patterns of the dances; most go counterclockwise, and the dancers face the same way. Being courteous to your fellow dancers gets you a long way; they all remember being beginners as well, so having an upbeat attitude and a willingness to learn is helpful.
First, don't jump into a fast complicated line dance; ask the DJ if there is a slower, easier one that will be done during the night and get your feet wet with that. Start with your feet together and have an idea of which foot you are going to move first. Above all, keep practicing. YouTube has many videos of line dances that you can practice along to at home; before you know it, you'll be ready for all the complicated line dances.