Hi SaschaPoles
Wear what you would for pole practice — shorts, sports bra, etc. I made the mistake of wearing capris to my first Bikram class. Never again! They got very sweaty and sloshed around in the most annoying way… You'll want to bring a water bottle and a towel, as someone else mentioned. In addtion to telling the instructor it's your first class, you might want to place yourself so that you have a row or two in front of you to watch. I think you'll really enjoy it. You've actually inspired me to go back to the studio.
Good Luck!