So it's time to enter the dojo (a training hall for Japanese martial arts) and join your first class. The first thing is try not to worry. Most people get worried about their first class which is perfectly natural, but don't worry... it's your first session and everyone will want you to enjoy it. You won't be expected to get everything right first tie or even tenth time. If martial arts were easy to learn everyone would be a black belt - take your time and you'll get the hang of it.
Before starting the class in earnest someone (typically the instructor or a senior student) should explain to you about some of the rules and etiquette of training, and you should also be instructed in getting warmed up for the class ahead.
A first class particularly if there are lots of beginners will typically include some breakfalling (ukemi in Japanese) which is about learning how to fall safely when throw, and maybe some sort of throwing. It is also common to cover some joint locking techniques (usually elbow and wrist hyper-extensions/compressions), basic striking, some releases from grabs and perhaps even how to defend yourself against someone wielding a bottle ... though not to worry you should start with a nice safe plastic bottle.
Some techniques may seem a little odd or even convoluted. Don't worry if they do. Many of the techniques taught to novices are actually embedding principles which will help you learn more involved or subtle techniques later on. Just think of the painting and waxing exercises from the Karate Kid films and how much they helped the young karate student. Hopefully the techniques you are taught will be immediately more practical than the DIY Karate Kid techniques.
Your instructor and other students should be happy to answer any questions you might have so don't be afraid to ask them or to indicate where you don't quite understand something. Instructors often ask if people have understood or if they have any questions.
If your question is particularly involved, then it may be better to wait until the instructor comes to check on your progress individually or even until the end of the session. This maximises everyone's training time and can even give you time to fully explore a technique and ask a more informed question.