Hmmm... Being ashamed of doing "things" with a lady friend when your brother walked in?
Well, if it was just "normal" sex then I don't see why you would be ashamed. Typical males tend to cheer one on when they score, just without the pom-poms. Now if you were tied down and she was whipping you, then I could see you being some what shamed. Of course there are even more shameful and humiliating acts that you could have gone through but I think it would be inappropriate to describe them here.