Congrats on the iPad!
Make sure of the following:
iTunes automatically launches upon plugging in the ipad to the computer's USB.
If this not occurring, the computer isn't recognizing the iPad For the following possible reasons:
iTunes is not installed on the computer. Install latest version of iTunes.
The USB port on the computer is bad. Try using a different USB port.
The computer's operating system is outdated. Make sure you're running at least Windows xP or OSX 10.5 or higher.
The 30pin connector to USB is bad. Try another 30 pin to USB cable if you've got one.
The iPad's 30 pin bottom connector is bad. Bring it into the store you purchased it from to verify.
If none of the above works, bring it into an Apple store, where you will get a personal set up for free, regardless of where it was purchased.