Good news first: you do not need anything special for your first lesson. Comfortable clothes you can move in — and that you are not worried about — are perfect. Think how you would dress for a relaxed gym session or a smart-casual evening, depending on the style.
Shoes make the biggest difference. For your first lesson, clean shoes with a smooth-ish sole that let you turn (rather than grip and stick) are ideal — avoid chunky trainers with very grippy soles, which can catch on the floor. Later, if you continue, your coach can advise on proper dance shoes, but there is no need to buy anything to start.
Bring water, and bring an open mind. The only thing that genuinely helps a first lesson is a willingness to feel a little awkward for a few minutes — everyone does, and it passes quickly. You do not need a partner, and you do not need any experience. Just turn up ready to enjoy it.