So, the quotes around the word new were intentional. Sometimes guns are bought new in box. But many times, guns are bought used. So, while a gun may be new to you, it could be that it is pre-owned. Whether it is new or used, there are things you want to be sure of before taking any gun to a range and shooting for the first time.
1. Read and understand the owner's manual. Every owner's manual has important safety information specific to that particular firearm. It also contains instructions for how to properly disassemble, clean, reassemble and lubricate the firearm. It should also contain information about the kind of ammunition to use with the firearm. Finally, the manual will contain the procedure for how to perform a function check to verify that the firearm is working properly. If you don't have the owner's manual for the firearm, my web site contains links to most manufacturers' sites where you can download the manuals for most firearms.
2. Disassemble, inspect, clean, reassemble, lubricate and function check the firearm according to the manufacturer's recommendations. If you are not comfortable with or able to do this, then take the gun to a qualified professional gunsmith who will be happy to show you how.
3. If you are new to shooting, or the firearm is one that you have never fired before, it is a good idea to get some instruction from a qualified instructor.
4. Know the basic safety rules that apply to handling all firearms, and be sure of the range's rules BEFORE you go to the range.
The more you know about it, the safer you will be with your "new" firearm, and the more fun you will have participating in indoor and outdoor shooting sports.