Just go have fun at the first one... attend the "new shooter's" brief. Every club I've ever been to has one. Safety is the first objective.
At our Steel Challenge match... we have 4 bays. They will usually have 3 "official" stages setup, and one they created themselves. Split the people into 4 groups and go to it. If it's a true "Steel Challenge" match... google that and you can see the rules and course setups there.
Basically... you'll shoot 5 strings, they'll take the best 4 for your score. There will be 5 steel plates, one will be red. You shoot the other 4 in any order you want, then the "stop" plate. Draw from the holster (surrender position), no reloads on the clock. One stage has you moving laterally a short distance, but other than that, it's all stationary.
Pretty simple, really. It's a blast and I haven't missed one since I started 6-7 months ago.