ANSWERS!
Oh, I didn't see you had bought already... anyways
Do I need to clean before I shoot the first time? I bought the cleaning kit and some dummy rounds in my haze.
"dummy rounds" what do you mean by this. make sure YOU know before you put them in. I don't know if you mean snap caps, blanks, or 'dummy' because you bought whatever box they handed you.
No, brand new gun, you can do just fine without cleaning. Possibly put a drop of lube on the slide and swipe a single patch down the barrel. Contrary to TV, guns aren't like brushing your teeth, dusting your china, or polisihing your silver. You shoot, then clean, then store until you go shooting again. No need to occasionally haul it out just for a cleaning.
What is a good ammo for:
a)target practice
The cheaper the better in my book. Look for blazer or remington umc, or basically whatever is cheap. FMJ ball ammo is probably the bullet type
b)home defense... hollow point, right?
buy what shoots best in your pistol! Of course, you don't know what this is, and probably for a while, your shooting skill, being new, is going to make this hard to figure out. Pretty much every manufacturer makes a 'special' type of pet hollowpoint, and these seem to be pretty good. Look for something marked Hydrashock, Silvertip, Golden Saber, Federal Premium Home Defense, Speer Gold Dot, etc etc.
here is a nifty picture
http://www.remington.com/products/ammunition/handgun/remington.aspof some different bullet types, but yea, stick to either plain jane hollowpoints or these special hollowpoints. You will probably face a bunch of different weight bullets for your 9mm, stick with 124grain for home defense, it is good middle ground, giving you the best of both worlds.
Is dry firing OK for home practice? I've heard yes and no, just don't want to wear anything.
Spend 5 bucks and get some 'snap caps' these are red plastic fake bullets made specifically to be put in a gun and dry fired.
EVEN THOUGH IT IS JUST A SNAP CAP BE AS SAFE AS POSSIBLE ONLY DRY FIRE WITH THE GUN POINTED AT A SPOT WHERE IF BY SOME HORRENDOUS MISTAKE YOU GET YOUR BULLETS MIXED UP OR SOMEONE IS TRYING TO PLAY A STUPID JOKE ON YOU THAT NO ONE IS HURT OR KILLED! GETTING USED TO HAVING SNAP CAPS AROUND HAS LEAD TO MANY 'MISTAKES' WITH REAL BULLETS!
Any tips for the first time I take it to the indoor range? SHould I just buy ammo there, or bring my own?
Bring your own, it will be cheaper. The range may well want to inspect your ammo, but anything by a major manufacturer will be fine. They basically are checking to make sure you don't have some surplus soviet ammo piercing stuff that will tear up the back end of the gunrange.
Check out bulk ammo deals at places like 'cheaper than dirt' or 'sportsman's wharehouse'.
I recommend bringing MORE than you plan to shoot with, becaue you can always come back later. Don't think that just because you brought 200 rounds means you HAVE to shoot all 200. If after 100 rounds you are worn out, call it a day. Firing guns makes people use different muscles, but more importantly, concentrate mentally in a way they haven't before. Sore eyes and head-ache after range time is pretty frequent by people who should have taken a break or quit earlier. For the first day at the range, I'd buy 2 boxes of 50 rounds each of 2 different types of relatively inexpensive ball/fmj ammo. Two different types is so just in case for some reason your gun is finicky and doesn't like one type, you got the other!