What shall I expect my first time?

For starters, if you have not yet had a pelvic exam by a gynecologist, now is the time. She can tell by examining you if all should go smoothly or if the hymen is unusually thick. She can also get you on a good regimen of birth control and teach you about STD prevention. Take her advice to heart and follow it. It can save you a lot of grief in the long run.