It is not really all that scary, though I do not really care to have my privates exposed and examined by anyone. Relax if you can and realize that a pelvic exam is important to your health. Basically the gynecologist will ask you a bunch of questions about frequency and intensity of your periods and more than likely will examine your vagina using an instrument called a speculum. It is not particularly comfortable but is not as bad as it sounds. If you want you can probably take someone with you, especially since it is your first time. Be upfront with the doctor about your fears and you will be treated
respectfully and gently

Good luck -- it is all part of being a woman