The feeling of transitions is something that takes time to get used to. To prepare yourself, incorporate brick sessions into workouts (swim-bike, bike-run) so that you experience it before a race.

Howdy! Welcome to the fun and exciting world of triathlon! Enjoy your learning curve. It can be as fun as it is intimidating.

My two cents, by trijoe:
The goal of a successful training day is to train like you race. Do this and you will have a successful race day. This can be difficult and intimidating for the first timer, as you have no earthly clue how to race, so how on earth do you train. Got it, been there done that. I feel your confusion.

A good thing to remember about triathlon is the clock never stops. You have to be able to leave the pool and immediately get on your bike and go. Then drop that, and start running. This offers challenges, especially with clothing. You'd be well advised to find a set of triathlon clothes that you can race in, and start training in. Triathlon shorts are great, and a good tri top helps. Wicking socks are a big big plus.

Another important part of triathlon is the transition. It's great to be able to train for the swimming, biking, and running parts of a triathlon. The problem for newbies and veterans alike is bringing those seemingly disparate training efforts into one coherent package. Going from one discipline to the next is much harder than you might think. It's easy, for instance, to get light headed on the bike because you're not used to being "flat" in the water, then going straight to cycling. Also, a lot of people get "cycling legs" on the run, where they struggle to control how their legs feel, as if they're still peddling. Thus the brick workouts.

A brick workout helps your body learn how to go from one discipline to the other. You don't necessarily have to do one or both disciplines very long, fast, or hard. But you do want to make sure you go as quickly from one to the other. Even if that means jumping on your bike dripping wet. Not only does this train your body for the changes, but it also helps you train for your transitions (referred to as T1 and T2). The less time you spend in transition, the quicker your race. So it's a great time saving skill to master.

I've rambled a lot, I know. Sorry. But I hope this helps answer any questions you might have. If not keep asking, and people will keep answering. And again, welcome to pure joy. You'll be addicted in no time.