Well, you could do what I did: join the Army. I'm sure they'd teach you.
Seriously though, it's definitely best to go with someone who has experience with firearms for your first time. Are you mainly just wondering what kind of weapon to choose? Are you leaning more towards a rifle, a pistol or a shotgun? You might want to avoid the shotgun for your first time. If you want to shoot a pistol, then anything 9mm would be fine. I'm not really that knowledgable about rifles, so maybe someone else can make a good recommendation on that.