I had my first midwife appointment just last week so its all still fresh in my mind!
We filled in a lot of paperwork and she gave me all sorts of health leaflets, and some free magazines etc. She then checked my blood pressure, and I gave a urine sample.
We went through mine and my familes medical history and that of my husbands and his family (I went alone though and just made sure I found out about any ailments in his family, however trivial).
I also had a lot of blood taken..........., she felt how large my uterus was and we listened to babys heartbeat - but then I was 16 weeks at my appointment, so you may not have any of this!!
Its all fairly straightforward really....
Good luck...