best advice is to go along but without the intention of playing have a look around and follow your instincts as to what happens and when
good luck and have fun
Go along and ask for some one to show you round, so you know where everything is.
Then sit, chill, watch and enjoy.
:P
Maybe you should go with an equally scaredy-cat female so that you have someone to hold hands with?
The first time we went to a club there were 16 of us there from the local chat room here on SH - It was a blast, really really good fun. Other than the going off and doing the do etc as was each persons want, the rest of it was rather like a social event only with people in towels/underwear. The jacuzzi time was great fun too.
My advice would be to go with some people you know. If its like the club we go to then its open until gone 3 AM so its great to have fun and also be able to chat with some familiar faces too.
Enjoy your time