When you get the pills from your ob-gyn, someone should sit down with you and discuss the side effects. If they try to give you pills and send you on your way, ask questions. Make them tell you the side effects. There are a lot of side effects and some of them actually are serious. Even though the serious side effects are rare, your doctor still should make you aware of them.
Like mc4 said, you have to use another form of birth control for at least the first seven days of being on the pill to let it fully get into your system. After seven days, you can have sex without any other method of birth control if you want. Your doctor should also tell you that.
Don't be afraid to ask questions. Your doctor is the best person to get information from. Your doctor has a responsibility to tell you this stuff, but many doctors try to rush people in and out without making sure they understand everything that they need to know.