Congrats on your pregnancy. I had my first ob visit when I was 9 weeks he gave me a referal for the blood test and scan for Down Syndrom which needs to be done no later then 12 weeks and 6 days (from memory) and the blood test 3 days before as Catherine said.

If your are unsure I would call your Doc and ask him about it and if you want a scan then ask for one.

Everyones first visit is different as different Doctors do different things. I had my blood pressure done and an ultrasound to confirm how far along I was at my first visit.
Dont stress about it, it's very exciting. I would just make a list of any questions you have and take it with you.