First time sharpening, do I sharpen on the coarse or fine side?
Yes. The coarser grit removes material faster, but leaves a rougher finish. The finer side then allows you to bring the edge to a fine polish. The most important thing to remember when sharpening is to keep the blade at a constant angle relative to the stone -- don't change the tilt of the blade as you move or you'll just make a mess of it.