Hey, today it's the big day! today it's the first day we go to the gym! Nervous? (Think that I'm starting something that will become routine, so what's the reason being nervous?) Answer should be: "Holy ****, of course. That place is full of fit/strong men that are watching you as an stranger in their home, and hot girls that contrary to men make you feel like you don't exist."
Don't worry. Past a month that will be your home too. But, for starting don't worry about it, and go finding the instructor. Every gym should have at least one! If not, I think you will learn by yourself by reading a lot but, hey, I'm here for helping, so don't hesitate asking in comments.
As I was saying, you must talk with the instructor before starting use of gym's machines.
The most important thing it's knowing and setting objectives. Note that this will be a long-range goal, so don't expect perfection in 1/2/3/4 months even 1st year, because perfection does not exists. Once you have many time training, you will notice that always wants more and more, searching for more muscle mass or more definition, or whatever you want.
Don't compare yourself with other people at the gym. You don't know how long do they go there. Comparing your body with another's who has many years training will cause you to leave the gym, trust me, I know many of these.
All this should be something like the "motivational" words from the instructor to you.
For starting, body needs adaptation to exercise gradually. If we haven't trained/practiced any sport the last months or even years, our body is not ready for exercise as our mind is. Because of this, first day exercise will be exclusively cardio-exercises such as biking for about 30 minutes and elliptical other 30 minutes (1 hour training the first day it's enough).
Yes, it sounds too light but that's what happens the very first day. Next day, the instructor will have a starter routine for you, or (if don't) you will have your own starter routine. For that purpose next update I will write a 1 month-length starter routine for weight losing. What do you think?