Wear whatever makes you comfortable while keeping in mind that you will be stretching and bending. T-shirts, sweat pants, shorts, and tank tops all work well. Avoid jeans.
You should wear standard workout clothes for yoga. Do not wear anything excessively baggy, as this will make it hard for the instructor to see your form.
As this is your first lesson, you probably don't have any special clothes. I recommend a loose pair of sweatpants and a comfortable loose top. Shoes are up to you...