My advice to her was to put 100% into every class. The more she exercises the more endurance she will have. The more endurance she has the more confident she will be. The simple fact is, if she can physically outdo the "skinny girls" in the room what is there to be self conscience about!
I remember observing everyone in class the first few weeks and choosing the two most impressive people in every class. My goal was to outdo them in six months and I did! Creating goals for yourself let's you focus on what's important improving yourself!
I also told her to choose her outfits wisely. Choosing your outfit for the gym is as important as choosing your outfit for work or for an evening out. Looking good, simply said, gives you confidence! So, be strategic when buying exercise clothing; invest in quality exercise gear that emphasizes your best features and enhances the look of those you are not fond of.