Usually, the reason your teen is totally embarrassed when you talk about sex is that you're clearly embarrassed when you're talking about sex. It's not a parent-teen conversation you want to jump into without some planning and thought. Also, it'll help matters a great deal if you know what you're talking about.
Read up on the subject so your own questions are answered before talking with your teen. Learn what they've been taught in sex-ed classes at school so you're not trumped during your conversation, losing authority on the subject forever.
Let your teen know that talking about sex isn't easy for you, but that you think it's important that information about sex come from you. Give it a practice run with one of your friends or siblings just to get the words out of your mouth for the first time. Better yet, tell your own parents about your plans to talk to your teen, and note the numerous occasions when you feel deep embarrassment discussing this with them. Because if you act or behave as if you're uncomfortable talking to your teen about sex, your teen's going to end the ordeal just to help end your own embarrassment.
Next: There's more to cover in the sex talk than just the scary stuff.