For the first time going to an exotic pole dance class consider:
Be open minded. Exotic pole is about learning to be sensual and learning dance techniques with heels. There are many different styles, explore them all and find the one that you enjoy!
Usually pole dance studios let you borrow heels if you don't have any. Start with a low heel height if you don't wear heels in general or you can go bare foot.
Don't be discouraged if you're having a hard time following the choreography. It takes time to learn.
If you feel uncomfortable doing a certain move (like an elbow handstand) feel free to sit that one out.
Remember your'e dancing for YOU and you're learning. Enjoy the class and be comfortable making mistakes.