The first things most golfers learn is how to grip a club correctly. Gripping the club the right way will not insure that you learn how to hit a golf club the right way, but holding it the wrong will almost certainly mean that you won't hit the ball well and won't enjoy the game.
Take hold of the club with your left hand about 1/4 inch from the top of the clubs. Put the small finger of your right hand in the gap between your forefinger and middle finger. Make sure your thumbs align down the shaft of the club. This is called the overlapping grip.
Take hold of the club with your left hand. Put the small finger of your right hand underneath the forefinger of your left hand. Make sure your thumbs align down the shaft of the club. This is called the interlocking grip.
Grab hold of the club as if it were a baseball bat. Your left hand should be on top of the club and your right hand should be directly underneath the left hand. The thumbs should be wrapped around the club as well. This is called the baseball grip.
Grip the club solidly but do not choke it. Hold the club at a grip strength of about "5" or "5 1/2" on a scale of 1 to 10. This would be the equivalent of a firm handshake you would offer in a job interview. Tighter than that will restrict your swing and looser than that will cause the club to wobble.
Try all three of the grips at the driving range before you decide which one is right for your game. Most people choose the overlapping grip and it is effective, but the interlocking grip gives a golfer a chance for added power while the baseball grip is quite comfortable.
Tips & Warnings
Don't choke the club when your grip it. Holding the club too tightly will restrict your swing.