If you are just starting DDR, a good suggestion would be to not worry about how you look as you play. When you first start, you will feel like you are stepping on ants. I would suggest that you start out with "After the Game of Our Love" for your first song. It is quite easy with a good rhythm.

Also, it's okay, once you step on an arrow to stay on it. This is completly nessesary when doing the heavier songs.
When choosing your dance pad, choose one that says non-slip right on the box. If you buy it at EB Games, they should offer you a warranty on the pad for $5. If you damage the pad, you can bring it back to them and they will replace it.