I can't begin to tell you how many people share your sentiments regarding purchasing an enema bag in person at a pharmacy or elsewhere. It's a very common shared reluctance.
Fortunately, today we can buy online in complete privacy, and you can find an enema bag at the web sites of most major pharmacies. If you link to http://www.walgreen.com/store/product.jsp?CATID=100100&navAction=jump&navCoun...
you will find a combination hot water bottle, douch and enema syringe for $11.99.
A combination bag is usually the most convenient for personal home enema use, but restrict it for enemas for yourself only. For sanitary reasons, don't use it for douching or share with a partner. Buy a separate bag (preferably a differnt style or color) if necessary.
If you can't get to that Walgreens link directly, just go to http://www.walgreens.com
and search for enema.