Wear the right shoes.
First, if you want to do Zumba, you need the right shoes. I started taking Zumba in my everyday sneakers, and while they were okay, I didn't get the movement I needed or wanted. I did my research and found out that in Zumba class, you want to wear either dance sneakers or cross trainers. Why? Dance sneakers have the arch in the middle, which allows you to flex your foot in a way that normal sneakers won't. Cross trainers allow forward-and-back and back-and-forth movement, which makes the side steps and slides a whole lot easier than when you're wearing running shoes, which encourage front-and-back movement only. My personal favorite shoes are the Ryka Synergy shoes. These, and other Ryka shoes, are designed for women by women, so they have a slightly different shape than traditional shoes. You may also like the Nike Musique shoe. It's a great shoe, but doesn't come in the fun colors that the Ryka shoe does.
For more info on Zumba shoes, check out this site - it lists more options that you may like.
Get the right clothes.
Zumba class is all about fun movement. When you attend, you'll want to be able to move around. If you think you can pop into class wearing your work or school clothes and be okay, you'll be unpleasantly surprised.
It's important to wear clothes that you feel good in when you go to Zumba class. If you look good, you'll feel good. And if you feel good, you'll do better with your dancing. While you can buy Zumba branded clothes (which I highly recommend for Zumba enthusiasts), they're a bit of an investment if you're just starting out. I'd recommend starting your Zumba workout wardrobe with well-fitting workout pants, sports bras (for women, of course) and tight fitting tank tops or t-shirts. I know tight fitting clothing can be a concern for some people, but the clothing allows for so much more movement and confidence. For example, you'll probably be doing a lot of jumps and squats in Zumba class. Do you want a loose fitting shirt that rides up? No. You want a tank or tee that maintains contact with your skin so you remain fully covered throughout class. If you're not quite ready for a tight tank or tee, try getting a longer tank or tee to ensure even more coverage, or wear a tank underneath a moderately loose t-shirt for full coverage and a fun look.
Zumba class can become quite a fashion show, between the colorful sneakers and fun outfits, and joining in on that fun can make Zumba class even better.
Get to know the music.
Zumba classes are primarily comprised of Latin music, including salsa, cumbia, reggaeton and merengue. While you can do a simple search on the internet and find lots of music that may be used in Zumba classes, you can also download CDs released by Zumba itself. You can also watch (and dance along with) the Zumba Exhilarate DVDs and play the Zumba video games.
Make Zumba work for you.
Not all Zumba classes are the same. Some instructors are more dance focused while others seem to be more fitness focused. If you take your first Zumba class and don't love it, don't give up. Try another class or find another instructor in your area. Zumba, like anything else, requires interpretation, so find someone who does Zumba the way that you love it.
Not comfortable going to Zumba on your own? Bring a friend. You can help each other build confidence and improve as you take classes. Plus, having a friend with you will allow you to help each other with moves that may initially seem difficult. (You can also ask your instructor for help - they're very nice and are happy to offer assistance.)
Understand that Zumba is different for everyone. Do not become disheartened if the person in front of you looks like she's had ten years of dance experience. Everyone does Zumba differently. Whereas she may have structured dance background, your strength may be your natural rhythm. As much as you're admiring the person in front of you, someone in the row behind you may be just as impressed with some of your moves.