Not being particularly shy in THAT sense, I'd probably say "Er, are you sure you're in the right locker room?" And try, likely unsuccessfully, to keep my eyes up, up, up. Assuming we're talking about anything other than my first year in High School, where my hormones hadn't QUITE kicked in. Then I wouldn't have as much trouble keeping my eyes up.

Note that my experience with locker rooms is 30+years in the past.