First of all, relax. Make it clear to the Gyn that this is your first visit and you are nervous. Tell him/her you would appreciate that the speculum be warmed and they go in slowly, explaining each step. A GOOD Gyn will do all this anyhow, but at least in so requesting, you are taking some power for yourself.
She/He will first ask questions about your health history and sexuality. It is critical you be truthful so they have all the facts to go on. Don't be embarassed; it is their work and they work FOR YOU! Then, you will be asked to lie down and put your feet in "stirrups".....this feels like a very vulnerable position and it is. Try deep-breathing and imagery (think of things that relax you) and just let your bottom half go limp. The dr will tell you when the speculum is going in, then will take some cotton swabs and gently remove cell samples from your cervix. This is not a painful procedure, just feels ODD! The more you relax, the easier it is. It takes only a minute or two. Then the doctor will likely do a digital rectal exam. THIS IS CRITICAL for them to assess the posterior of your uterus and vagina for masses and lumps. Again, relax as much as possible, this takes only seconds.
Then, after that, he/she will examine your breasts for lumps, and palpate your lymph nodes under your arms; the way you should be doing each month. He/She will palpate your abdomen/pelvic region for masses/lumps. All told, the physical exam takes only minutes but can save your life. (trust me).
I was 19 the first time I went, too. I was frightened and embarassed. It was in the military and quite a shock. But I am glad I started going. Being in my late 30, I have had countless exams now and am a "pro" at it. Do not let embarassment or fear EVER stop you from getting this most critical health assessment; it has saved lives, including my own (I had severe cervical dysplasia at 22 which was treated and cured).
I wish you well. I hope you are given a clean bill of heath and come out realizing it was NOT bad at all!