If you feel bad your fist time, you will feel worse about your skills as a driver and everything you DONT know the second time you are out there.
The 3rd times the charm. Thats when you get the basics down and your mind opens up. You start absorbing and learning and the more you learn the more you will want to learn. And every time you go out after that becomes a major learning experience.
Your first two times you are out there to drive, see what its like, make mistakes, etc... So dont feel bad at all! After you get that out of the way - ego, pride, shame, all go out the window and you become a open minded student and everything is a learning experience
Thats how it was for me, at least. Believe me I know what you are talking about. The first time I went out, an instructor in a Mazda 3 kept owning me over and over loll