It's an indirect way of saying "it was extremely embarrassing". Ric's right, we use these "negating-the-opposite" phrases as an understatement, and we do it quite often. Usually it's the negative of a positive word, and in some cases it can be used as "soft" or "indirect" criticism. For example, "That wasn't a very intelligent thing to say." = "That was an utterly stupid thing to say."

It means I did not feel proud, or, I felt ashamed of my behaviour. English often uses this kind of understatement: I wasn't very pleased (=I was angry) The film wasn't bad at all, actually (=I enjoyed it)