Well, if you're having sex at all it's good to go in at least once.
They will have you lie down on an exam table (like you'd see in the doctor's office). You will put your feet in stirrups that will have your legs apart so they can properly exam you. You will probably have a gown on; if not, you'll just be naked from the waist down with a large towel over you. You won't have to watch anything, if that freaks you out. Some offices have pretty pictures on the ceilings to calm you as you are being examined.
They will look at you externally. How your vaginal opening, labia, etc. is doing. Then, they will do what's called a speculum exam, where they can see your vagina and cervix is doing. This requires a plastic or metal device that looks kind of like a ducks bill (weird, huh?) and this is when they do they pap smear. This is sometimes a little painful for women, but it doesn't last. Maybe a couple hours at most- and nothing is wrong if it hurts. You should let the doc know if it hurts too much however. The next thing the doctor will do is examine the ovaries (among other things). This requires the doctor to stick a gloved finger in your vagina and just examine you that way. No- it's not sexual...so don't worry.
At first, it can be uncomfortable to be there (just generally...weird). But, you should make it a habit to go if you are having sex. After awhile, it's no big deal. But, it's normal to be a little scared. I encourage you to go.
You can find out more
HERE if you want to learn more.
Good luck!