It is important to know that doing any kind of martial arts is going to mean that you will be sweating and this will lead to get in shape. All classes begin with a warm up, strecthing and breathing techniques, some exercises like jumping jacks, push ups, sit ups... Warm up is needed before start trowing kick and punches.
Concentrate on what the instructor is doing, on the class, on the exercises. It is ok to ask if you don't understand something.
When you start you might be required to wear the traditional uniform depending on the martial art you selected, could be Karate, Taek Won Do. If you are required to wear a uniform in your first class you will need to wear a white belt as well, that is the firt level. If you are not required to wear a gi on your first class, then wear sports clothes.
You are not required to bring anything else, but never be late on your first class. In most martial arts if you are late you will have to bow in before entering the dojo, then kneel down next to the door facing the wall until the instructor calls your name. It is considered disrespectful to be late so be there on time.
Remove necklaces, earings, rings and watches. None of those are permitted because can cause injuries while you train.
In some school you will be give a 40 second water break, so have a water bottle handy because you will need it after the class if there is no water break.
Well, this covers pretty much everything for first timers. Enjoy your first class.