Let the instructor know that this is your first time. Bring water and at least three towels (two for the handle bars and one for your face). Try and get a bike by a fan and away from the speakers (some instructors really crank the music up).
Definitely cycling shorts, but no jersey. A t-shirt will be fine. Show up in full kit and you will never live it down.
It gets easier after the first few times. Remember to have fun.
BR