How to say no in school?

Well, I'm going to be a freshman this year and one of my friends (who's going to be a sopre) said that in English cl, they show inappropriate movies, like scenes and bloody killings. In my religious beliefs, I don't think that I really want to watch that. How can I say no? I'm very shy and I don't want to be marked as "a Bible Thumper". Please help!