Before the first class, check out your room. Confirm technology you may need.
Decide what you intend to achieve during the first class beyond housekeeping. You may want to get to know something about your students while moving into an introduction to course content. How much time you devote to each is up to you and depends on your approach to the class.
At the beginning of the first class, introduce yourself to establish your chosen level of familiarity. Tell them what to call you - Professor X, Dr. X, Joe...Realize that having a good rapport with students is important but what they call you maintains the necessary distance to your role as instructor. Decide whether to tell them anything about yourself and whether to solicit information from them.
Go over the syllabus. Hand it out. Read through it with the students. This may be the only time they go over it. Highlight expectations for class behavior. Explain why you chose your textbook and readings and discuss how they relate to each other and to the course content. Students may look to the syllabus for due dates, but they may not look at the rest beyond this first opportunity.
Present a course content overview, or a mini-lecture, providing a broad look at the subject. This gives the students an idea of what to expect from the content of the course.
Ask questions. Establish a give-and-take atmosphere the first day when content knowledge is not being tested. Students will be more at ease and that comfort will continue into subsequent classes.
Save time for student questions. Students may still be wondering why they are in this class. Give them a chance to ask questions and make their own connections on this first day.