First actual flight lesson, what to keep in mind?
Bring a camera. That's about it.
Unless you're training part 142 (you probably aren't) and were given homework (you probably weren't) your first flight is where you get to see what it's like to be in a small airplane, feel the controls, and get a sense of practices and procedures.
Nobody expects you to be good at anything at this point.

Instructor responsibilities during the first lesson:

Ensure the safety of the flight
Introduce you to the airplane and to basic flight operations, including straight and level, basic turns, climbs, and descents.
Answer your questions
Get your contact information and learn when and how you would like to be contacted.

Student responsibilities during the first lesson:

Be a sponge: look, listen, absorb.  You're not going to understand everything the first time, but start getting the general feel.
Ask good questions. Your instructor will be able to answer them, or if they're not relevant, she'll defer them to a later time when you have more foundational knowledge to build an answer on.
Ask stupid questions.  You're on day one.  How are you supposed to know a good question from a stupid question? If you're afraid to ask the stupid ones you'll miss out on asking the good ones.  Your instructor doesn't care about stupid questions. She'll either defer them or respectfully let you know that they're not relevant. If she's an excellent instructor she'll also file away the fact that you asked as a point of possible misunderstanding to touch on later when you have a better base of knowledge.
Get your instructor's contact information and learn when and how she would like you to contact her.
Take a bunch of pictures. It's your first flight lesson!

Only one of these requires advance preparation. Got a camera? Good. Go have fun.