My biggest problem with my first few lessons was the strange feeling of "steering" on the ground with my feet! I quickly bought a set of rudder pedals and started practicing on sims and my next flying lesson was a snap!
And effte is right: Planes "want" to fly, just keep that in mind.
Another issue of mine was geting used to my instructor. At first he would say things like "RPM 1500 on approach", and I would set it, then laterfeel I should be adjusting it, and I wasn't sure if I should do it or ask him first. Just remember to ask questions and you'll be fine.