Dunno if this is really old but. Everyone coughs on their first time. When you start, take slow puffs, you'll instinctively want to puff alot as you've never tried it, DON'T. I almost choked to death on my first try. You first make sure to exhale all oxygen before puffing, then slowly blow out. Do not take deep breathes, during, nor after, as that will tickle your throat. Hold for about 2 to 3 seconds. Eventually you'll be able to hold for about 8 sec. until it starts tickling,that is after you've been smoking for a while. The more you do it, the less it hurts.
Everyone coughs, it's unavoidable, and coughing is not exactly a bad thing when doing weed, but eventually it will be more like "hagh!" instead of "hagh, ugh, weeze, cough, hack! ahem." It's alot smoother then cigarettes, so know that you don't need to take huge puffs like you would with a cigarette. Just take deep,slow puffs making sure not to take too huge of a hit. Another tip is to occasionally blow a little bit out of your nose, this will get you a wee bit higher.
Weed makes food taste great, but try not to drink alot of cold beverages, and try not too eat too much. Chips or french fries are good, but a whole meal and a coke will bring down your high a little bit. Less food? Longer high.
You'll get sensations in your throat when you swollow sometimes, and your eye may hurt a little bit, don't get freaked out if it feels weird, it's supposed to be like that. Nothing changes except the way you feel, remember that.
That's all the advice I have. Have fun! ^_^