I think people need to stop doing joints down.
It can be extremley difficult to roll a huge joint with perfectley grinded weed, even all the way a long and also among other things a great toke.
Rolling a joint, is a skill!

As for your problem make sure you are using a roach! I mean if you have never smoked before you might not know what it is, a roach is a think bit of cardboard you shape into a tube big enough to let the smoke get through into your mouth and lungs, you put the roach at the beginning of your joint simular to a filter of a cigarette only hollow.

If you were using a roach make sure you are inhaling properley, I found this hard to get the hold of quickly, just take it in and inhale it like it's nothing but normal air by taking a deep breath, also try holding it in for long!

And Emo Rebellion is right, if your not coughing somthing is going wrong.