Assuming that your players also didn't play (much) and aren't very familiar with the rules, it all might seem a bit intimidating. It's much more important to create a fun first game then to create dungeon masterpiece.
3.5e has more rules and possibilities then Greece's national dept, and it's pretty much impossible to cover everything. You got to be picky in choosing what kind of challenges you wan't to throw at your players. Just some things that helped me DMing:
1) Know your players. Probably some of them already made a character, or you already played another game with them. Maybe you already know that one player loves to roleplay, while the other one enjoys throwing high numbers. Since its just the first time, be sure to give them a cookie for doing things they think is fun! First engage, then challenge.
2) Keep it simple. You can't control what your players will do, but you can ease out the monsters/mechanics you're going to use. Don't try to much complicated things, like grapple, turn undead etc. just yet. Those require to much ruling, and nobody likes to spend a session in the books. Pick one or two mechanics to test out. Keep the basic rules close to you (attacking, melee and ranged, flanking, the chosen feats, Some spells, Attacks of Opportunity, 5 ft. step) and try to motivate the players to try some of those. When they get the hang of it, challenge them with more difficult moves.
3) A puzzle! Since the rules of combat will get your players tired as long as they don't master it, put some braincake in there too! You can come up with any kind of puzzle, from a mathematical equation to a riddle, and all you have to do is give it some fluff, some fantasy coating. Combine it with some skill checks, and you also introduce that
. I had a big success with new players with just making a magical lock with a numberlock (or whatever you call it). On the door also was a string of symbols, which represented the numbers that should be inserted in the number lock. To find out which symbol was which number, they had to solve a series of mathematical equations, found on a paper. Something like "Snake + Eye = 10, Eye - Snake = 4" but then a little more complicated. While mathematical equations have the tendency to be really, really, really boring, the fantasy coating and the skill checks/happenings that happened during the solving of this puzzle, gave the players time and interest into solving it. When they solve it, they will also feel smart, and capable to play the game. Don't overdo it though! A 10 to 20 minutes puzzle is more then enough to keep them happy. And be sure to involve every player, by using different skills!
4) Make it cool, but believable. You want to create a world which is consistent. Don't make them fight the coolest stuff in the books yet (ruling is also complicated here), but its fantasy, so make the boss memorable. try to find a monster in the monster manual with an appropriate CR, which doesn't have a difficult ruling and still looks awesome. Thats what players want; be awesome and beat the
out of other awesome.
5) Punish, but don't be too harsh. This is more for DMing then for writing a story. My first game was a mess. I gave my players so much freedom that they just went to do crazy stuff and didn't get on with the game. Getting drunk ingame or threating people is a classic in this aspect. You wan't the game to move on, and not let the crazy experiments of one player bother the others. Allow a player to get drunk, for example, but don't detail it (you're drunk, and you act like a drunken idiot. Nothing interesting for a group of adventurers). Make them get some penalties for their irresponsible behavior(You made the smith angry when you were drunk/intimidated him, so he only buys at 10% of the price, and asks another extra 50% on top of the normal price when he sells you something). Don't kill/petrify etc. them just yet. Let them play, but advance the play and let them get the feeling that it's a real world with consequences.
Now for writing the adventure, I think it's smart to keep your first game as a list of challenges, like:
1) Negotiate with the town guard about the goblins
2) Fight some goblins, then interrogate them
3) Track the goblins to their hideout
4) Fight the guards
5) Disable the traps, solve the puzzle
6) Fight some other guards, then fight the boss.
This keeps you in control of progression, and also gives a good opportunity to gradually insert rules. the goblins at 2 may forfeit attacks of opportunity, but the guards at 4 could be a good point to introduce it. Don't forget that as a DM, you must deliver the entertainment. Make them have fun, challenge them slightly to apply the rules and make them feel smart or creative. They won't be able to wait till your next game! Then you can challenge them more, and create more open and complex adventures.
EDIT: I See you have two experienced players in your game, which makes it a little more difficult. To keep it easy for you and fun for them, Wik already mentioned giving them different opportunities. A puzzle is also an extra boost for those players, since they already master the skills and combat. And don't let them outshine the other players to much. It's logical that they will do more and more complicated actions then the new players, but don't let them dominate the game. That would make the other players feel intimidated by the rules, and also a bit stupid.