What to expect as a supervisor's first PhD student?
I was my supervisor's first Ph.D. student and I survived the experience...  

Although your advisor is almost certainly trying to do a good job, the simple fact is that neither you nor your advisor has ever done this before so mistakes are likely.

My advice would be to make sure that your dissertation committee includes some more experienced faculty and get them involved in the process (e.g. by having meetings with your full committee, having the committee review dissertation proposal and attend presentations that you might give on the work) as early as possible.