'embarassed' is how you have to feel ;)
It is when you are in an awkward situation,probably because something unpleasant you said or did or because you are put in a situation calling for this feeling.It could be caused by someone else imposing this feeling on you by acting rude ,bold or saying something you couldn't answer .
It is associated with being hesitant, not knowing what to say, feeling ashamed etc.
"Don't feel embarassed since you didn't do anything wrong."