OK.
Do Candlekeep and talk to the sages, as they basically serve as a tutorial.
The best thing you can do for yourself is to save as often as you can; nothing is more frustrating than beating an extremely hard part of the game, only to have to reload after a cheap death.
In combat, bows are amazing in this game, especially near the beginning. Imeon is a great companion to have with a paladin. (great choice for your first class by the way.)
Use the environment to your advantage. This isn't like most games nowadays where you can just rush straight into every battle and expect to win. This game is HARD. If you see a narrow area, clog it with your best fighters, equip everybody else with a missile weapon, and fire away.
Make good use of your formations, as they can save your life.
Don't be too cautious with your money, as you will have 80k+ by the end of the game easily, not knowing what to spend it on.
Have fun with your party selection. Try to fill the basic needs of a party (thief, fighter, mage, cleric) and then pick whoever you want. (Minsc is HIGHLY recommended.)
Congratulations on buying one of the best games ever. This is the game that will make you skip school, work, or whatever else you have planned to play. Have fun!
(If you like this, then I recommend Planescape: Torment if you want an excellent story, or Icewind Dale if you are craving a dungeon crawl)