I'm not familiar with that class in particular, but aerobic dance classes like that are great ways to make a tough cardiovascular workout fun! You will definitely burn calories, which should translate into pounds as long as you don't enjoy a post-workout splurge. Sounds like fun - keep us posted on your progress!
Dr. B
On Twitter @jamesbeckerman
I also are not familiar with that particular class. My experience of gym classes, etc is that you participate to a level you feel comfortable with. As you lose weight and your fitness levels increase you will naturally take on and do more.
I think the important thing is to go, do what you are able too and enjoy yourself.
Confidence wise, you may find it a little intimidating to begin with but as you become more familiar with the moves etc you'll relax and feel more at ease.
Just a thought. Walking or stretching, etc may help prepare your body for the class.
J