Nerves are okay! I've been jumping for years and I still get a bit nervous every time. Usually, however, the rush I get from it takes over and that's what makes it all worth it. When your nerves get so bad that you're not having fun anymore, that's when you've got to make some changes. Here are some tips for the nerves:
1. If the horse you ride is flighty or scary, ask for a steadier horse to ride while you're learning.
2. Watch the others go first so you'll have an idea of what it will be like.
3. Forget there's a jump there. Since you're beginning to learn how to jump, the jumps should be low enough that the horse will be able to handle it himself. Fix your eyes at some place in the background behind the jump and keep riding like you would going down the side of the ring regularly. Give a squeeze of encouragement as you approach the jump and let the horse do the jumping.
4. Pinpoint what exactly it is you're afraid of, and then make sure it doesn't happen. Are you afraid the horse will refuse? Add leg before the jump. Are you afraid the horse will go too quick? Take a deep breath, calm your own nerves, and sit back. etc
5. The horse can pick up on your nerves. Try taking deep breaths or singing a song to the rhythm of the horse's hoofbeats. Picture yourself being a big floppy noodle. Focus on relaxing one part at a time—legs, arms, neck, and so on.
Hope this helps!