Trust me don't worry about it. These SPs that teach the GU exams (both male and female) aren't like your regular SPs (at least not at our institution where they hire these specially trained SPs). They know that you are nervous, afraid, uncomfortable, etc. They are pros at this. They'll walk you through everything step by step. Everyone feels weird about it. It's funny when you're not allowed to joke, but the SP starts cracking jokes when you're knuckle deep in their rectum lol
Also, chances are (by either state law or hospital/school rule), you will not be alone in the room with the SP. There should always be a chaperone during sensitive exams (much more emphasized for female patients). So it'll be a bonding experience for you all lol
My only pieces of advice is: to be considerate, don't make jokes (usually a defense mechanism by certain students when they're nervous), and really pay attention to the technique and clinical implications. Chances are this is the only time you may do it really before you're on the wards and the Urologist or OB/GYN resident says "you're doing this prostate (or pelvic) exam." and you really don't want to be the person that thinks "uuuh actually I never paid attention when they taught us..." You'll be boss if you go "Sure, lemme grab a chaperone and we can do this sh**" (Honestly the attitude between the first and second is such a consistent difference between a so-so student and a goddamn Honors baller).