This is where there is a natural dichotomy that will happen:
On the one hand, you'll totally realize that it's your first performance so you'll keep your expectations reasonable.
On the other hand, you are aspiring to do something good and have seen many shiny dancers that you wish you could emulate.
Obviously, in your first performance, you'll want to keep your expectations reasonable. What would those expectations be? Nearly all the dancers that I know or have seen do their first performance will say "One of my goals is not to fall on my ass." As weird as it sounds, it's a fear that happens a lot when we start. Believe me: you won't. So that's an easy objective to attain.
Beyond that, though, you should simply strive to do the best that you can. Sounds corny but, seriously, that's really key here. And that is actually an objective that will follow you through all your dance years. Whatever level you are at, you will strive for that.
For the first performance (and first few performances at that), that should suffice in terms of objective: not fall on your ass and do the best you can.
As you are progressing, though, you'll start to have more specific objectives. You'll want to pick 1 or 2 things that you want to focus on for that specific performance. For example: Don't look down/keep the gaze level. Make eye contact with one person. Make sure that the moves are completed before doing the next move. You know... things like that.
The key for any performance is being ready ahead of time. Whether you do improv or choreography, you'll want to have worked with the piece enough to be ready to perform it. For all that you may believe that top names just whip up something, hell no, they don't. They do spend the time in the studio working the piece. And, again, that's whether they do choreography or improv.
So prepare yourself for the performance as much as you can, set up some reasonable objectives, and set forth and conquer this skill, one performance at a time!