If you've never played an RPG before and then you go to DM, it's not as bad as most people would lead you to believe. It does, however, require a lot out of you.
- Learn your rules as thoroughly as possible before starting. Your first game will go so much more smoothly if you know how the game runs, and your players will look to you for answers when they can't remember how certain things operate or how they perform something they want to do. That said . . .
- Expect your first session to get bogged down. People are new to the game; there will be a lot of flipping through the books to look up rules and general confusion about what the players can, can't, should, and shouldn't do. Just try to deal with it as best you can.
- Always prepare as much as possible before hand. If you don't know your material, it could lead to problems when the players try to play further than you've mapped out. If that 4 hour session ends after only 2, people won't be very happy. I always tried to have material for at least 2 sessions ready to go: Maps drawn, NPCs statted out and personalities planned, encounters put together, and so forth. Now, this may sound like a contradiction, but . . .
- Be flexible. Your players will sometimes do stuff you didn't expect them to do. Roll with it. Allow them to come up with clever alternatives that you hadn't considered. Give them a chance to succeed wildly (or fail miserably), even if it does alter things that you'd planned. It's part of the game for players to do amazing things.
- Don't be afraid to use pre-made material. In the beginning, it can be difficult to figure out what to put together for a complete adventure. NPCs to stat out, maps to draw, treasure to place . . . it can be a bit intimidating. Modular adventures are nice because someone has done that work for you already; you just have to present it. Even just pulling monsters from the Monster Manual(s) can help, as you have encounters right there ready to go. Anything that makes your job easier in the beginning is a good thing. And finally. . .
- Don't get too attached to your NPCs. They'll start to feel like your own characters, especially if you've spent a lot of time statting them out and working on their personalities and backgrounds. Don't be afraid to let them die. Nothing frustrates the players like a recurring villain who they can't touch, or a tag-along NPC who does all the cool stuff while they watch. If the players catch the villain, it's time for him to die. If you send an NPC with the players, make certain they are still the ones in the spotlight.