The pitfall you want to avoid her is staring at her before you walk over to talk to her. When you see her, you need to initiate the conversation immediately. Staring at girls trying to work up the courage really creeps them out.
FYI, normally trying to pick up women in a gym isn't a good idea. Guys who do that are called "Gym Prowlers." It does sound like you actually have interest in this area however. Remember, she's there for a purpose. I think the best approach is what Female Orgasm said.
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