You have two options to choose from when you make a first jump. You can make a Tandem Skydive or Jump "Solo". A Tandem Skydive is usually the best place to start, even if you plan on learning how to jump solo. Although you can make your first jump solo, it is not for the feint of heart.
You are harnessed to a Tandem Instructor during free fall and landing. This is the most popular way to experience Skydiving for the first time as you get to enjoy the freefall and let someone else do all of the work.
Ground school, followed by a solo freefall where two instructors guide you through exit, freefall and deployment. After your canopy opens you bring yourself in for the landing.