I'm a regular user.
Dude, first things first, if this is your genuine first time with smoking, then you are going to cough when you inhale. Don't try and argue, it's perfectly natual everyone coughs their first time, it's a natural body reaction.
However, do not be a pussy and not "inhale" and by that I mean get the smoke right into your lungs. Too many people I know take a breath in, then blow the smoke out without actually getting any of the shit actually in your lungs.
remember, breath the joint in to get it in your gob, then inhale again to get it into your lungs, hold it for as long as is comfortable, then exhale slowly, keeping your lips tight for XXX effect.
It comes in time, even if you fuck it up now it's fine; it's your first time.
Enjoy