Well, can't say I really remember my first "show". I've been playing in Church most of my life. The biggest "show" or Gospel Singspiration was in Phonix AZ, over 16,000 in attendance. Yes, I was nervous but it went very well with no problems.
Here are my tips on shows:
Expect the worst as far as monitors and sound mix. KNOW YOUR MUSIC.
There is nothing more frustrating to be on a stage and not hear your lead instrument(s) and have a poor mix. Don't hesitate to kick the sound engineer until you have an acceptable mix in your monitors!
Be as confident in your abilities understanding your set.
Never stop playing, if your bass or guitar player gets lost, just keep the heartbeat, they will catch up. (hopefully).
I get nervous when I don't know the song(s) well enough to play them with confidence.
Yes, it is very typical to be nervous. But, knowing your music 100% from first note to last will help your confidence level.
Have fun and let us know how it all went down...