Be careful with the Smith machine--it's easy to get injured on it because it's a fixed plane, and can put shearing loads on your knees.
Some gyms have lighter bars (15kg, as opposed to 20kg) for women. Even though the bar will heavy when you pick it up, it will feel much lighter when you squat it because the weight will be distributed across your torso, and it'll be your legs/glutes doing most of the work, instead of your arms. I would recommend looking at Starting Strength, or reading this long article--it's wordy, but once you do it in real life, it becomes very intuitive.
I approach a bar, set my arms about shoulder width (wider if you're bigger, have wider shoulders, or are less mobile), and bend under the bar and pop my head on the other side, so that I'm still holding the bar, but now it's against my by back. I then take a big breath, squeeze my traps/deltoids/shoulder blades back, slide up about an inch until the bar is now on my rear deltoids (middle photo, but the far left is appropriate, too), and then walk the bar out. The bar is stuck in place--it won't slip down, as long as you maintain tension.
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