When I have introduced new players to role playing, I often start with at least one one-on-one session. Exactly how you handle that session depends on what system you want to run and your friends personality.
But what I have done before is explain the basics of the system, some of the background knowledge, and then helped them make their character. It also wouldn't hurt to give them an easy solo mission so they can get the feel for it. You can let them keep any rewards they earn for the real group session later. Experienced players should not begrudge giving a new learner a small leg up (and may even appreciate it in a tactical game since it will help the new player be more useful).
Assure them that the table is not judgemental.
You specifically mentioned they were afraid of judgement. With most tables, you can assure them that it isn't the case. This is a game, recreation. Everyone is there to enjoy it.
If your table actually is judgemental, remind the other players that he is new and that they should help him rather than giving him a hard time about it, at least for the first several sessions.
Provide assistance during the play
Liberally provide assitance, and let him know you will provide assitance, for his first few game sessions. In a narrative type game (or narrative portions) feel free to give him suggestions of things he might want to think about. During the tactical portions, the GM probably shouldn't give those types of suggestions, but a more experienced player could.
Depending on his personality and how nervous he is, you might want to give him a "Deus Ex Machina Shield". I would not do this for a confident new player (or anyone who might feel patronized by it), but for a nervous one, it might help them relax to know that in-game-reality will bend itself to ensure that he can't get his character killed or even harmed in a permenant way. Let him know of course that it is temporary and that it will only step in to prevent really bad things from happening, othewise it could impair his agency. But knowing you are safe from the worst results can help you relax at first, much like training wheels.