Usually people will wear beige breeches, a belt, a show shirt, show jacket, black gloves, a black helmet and black tall boots. Show Jacket and shirt colours can vary, depending on the discipline (hunter jumper or jumper..). I'm not quite up to date on either right now, so maybe someone else can give a definite answer for that :) Generally, a black show jacket is accepted and a white show shirt.
When preparing for the show, I always put my show clothes in garments or a bag to keep them clean until they are needed. If you are unable to change into them at the show, for some reason, then you can wear them underneath splash pants and a jacket. I always change into my boots before warming up and arrive at the site with muck boots. I'll also bring a leather cleaning kit (soap, conditioner, black polish and shine, toothbrush and a rag) for my boots and either use the same one or bring another one for the horse's tack. The toothbrush is useful for cleaning in narrow areas and also for cleaning the stirrups!
It also may be useful to bring an extra pair of breeches or shirt, if available and wipes, tide out etc. It's so easy to get clothes dirty, especially when you are looking after your own horse.
You will also need to have your hair up and out of the way. Some people will pin their hair underneath their helmet and add a hair net. I don't really encourage this as It alters the fit of the helmet and isn't as safe. Others will put their hair in a neat low bun, add bobby pins and hair spray to keep in place. then put over a hair net.
As far as being nervous goes, It is pretty normal like Thundering hooves said. You will probably be nervous until you get the hang of things, but there are a few things I've done in the past that I find helps. The first is preparing everything I need to have a day or two in advance. That way I don't have to deal with it on the day of the show. This also goes for preparing your ride. Mabye watch a few riders and plan how you will ride the course.
The second is to ride for the unexpected. Horses can be more excited off site and there are more distractions. This usually calms down with experience, but it is always a good idea to ride preventatively. Be prepared to deal with a spook or refusal before It happens. In otherwords, ride every step and don't be passive.
The third is to have lots of fun! You'll learn along the way and be able to use those experiences for your next show :)