Everyone else has given a great description of what the massage will be like. I hope they DO have the special pregnancy pillow, because it really is WONDERFUL! I have had a pregnancy massage with and without. Although both were GREAT, it was so nice to lay on my belly!!!
I just wanted to say, since this is your first massage try to really relax. I know for some people getting a massage is a real "invasion of personal space" and it is difficult for them to really relax. Just try to really relax, you will get so much more out of it.
As far as what to wear.... it's up to you. I normally just go down to the birthday suit. ;-) But, I also know a lot of women who keep their panties on. I've had some therapists tell me I could leave my bra on, but then they would have to undo it to work on my back. I never even considered leaving my bra on.
The therapist will be very mindful of your privacy and will keep you covered at all time except for the area being worked on.
And... no question is silly. ;-)