First Timer You obviously need a bike to go mountain biking. If you don't have a bike to use, you should start off by renting a bike. There are a lot of styles and the price tags vary greatly. If you're only a casual rider, you may be perfectly happy with a low-end mountain bike. Even for the first day out, you must have your helmet and eye protection.
Gloves are also very useful.
You also must bring water. Depending on how long you're going for you may need to bring two bottles of water. If you haven't already seen them, bike shops carry special water bottles and bottle holders for your bike. Regular tennis shoes should be fine in the beginning. Bring a change of clothes.