Oooh first spin class!
Like Gemme said, have the instructor help you set up your bike. If it's not set right your ride will suck and you could injure yourself.
Your butt is going to hurt. It takes like six good rides to condition your butt to the saddle. If you have padded bike shorts wear them or you can get, without spending too much, a padded saddle cover that you just slip on before riding. It will help. But you'll still be a little sore.
Don't try to do everything the instructor says. Don't be afraid to turn down the resistance and sit and drink water. Just keep your legs going because your heart rate is going to probably be really high and you can't just stop moving, you have to slow down.
My exercise experience today will be a 6pm spin class