Well... my advice for the first time is do it with a friend that you trust. Smoking alone in the first time is not nice, because you may be too much stoned, freak out and dont have anybody to calm you down, or you may dont inhale properly, dont become stoned, and dont have anybody to teach you the right way for doing it.
So, the best option for the first time really is to smoke with a friend (who smokes, obviously). And, also, its always a great pleasure for a long time smoker to be the "guide" for a newbie thats starting to smoke... :rastasmoke:
Another thing to remember, is to have a long free time after you smoke... cause if you go high, then probably it will take some hours until you can "return to the earth" and disguise that youre high... probably some 4-5, depending on how much high you got.