Are you uncomfortable when someone compliments you? most of us are, like one of the Trade Team out on the town being complimented on their christmas jumper!, the reply was "Primark £10" now they were told they paid too much!!! but the point is why do we find taking a compliment embarrassing!
The first step is not to see compliments as the enemy of modesty. And to realise that thanking someone who pays you a compliment isn't going to give you a jumbo-sized ego. Actually they're a form of personal growth, a form of validation. Check out how to take compliments...
So start by resisting the urge to reject a compliment, by thinking more positively about ourselves, and retrain the way you think.
When we're not used to receiving compliments maybe it's because we're not used to giving them either!!!. So, go on, spread more praise around, then when it's your turn to get some of the good stuff back, you'll be a bit braver at saying "thank you", a simple but powerful phrase. Like any muscle, it will strengthen with use!.