Good advice from all these folks. Safety first. Start with light loads if possible. Don't be afraid to ask for advice.
Don't do what I did. On my 21st birthday I picked up my first handgun, a model 19, and went to an indoor range. Since the gun said 357, thats what I bought a box of.
I proceeded to go thru 50 rounds, throwing a six inch flame out the front and the gun bucking like all heck.
I developed such a bad flinch, that the target looked like I had shot OO buck at it while hip shooting from 50 yards. As I left, I told the guys behind the counter that I would have to send the gun back since the sights were off.
They probably fell on the floor laughing after I left.