Locate a classical music performance. Most major metropolitan areas have a community funded fine arts program that includes some type of classical music media. Colleges or Universities also frequently have such programs. Tickets can be a little pricey, but most places offer discounts for students and seniors.
Dress the part. Although the stereotype of near military rigor of dress codes for attending a classical performance is probably a bit off the mark, one should take into consideration a few minimum expectations. What are commonly be considered "church clothes" are a safe bet. A dress, or a blouse and dress slacks for a woman, and a collared shirt and tie and dress slacks for a man would certainly be acceptable. Pops concerts and outdoor performances are usually more relaxed.
Arrive at the performance. You should always arrive early so you can find your seat and get comfortable in your surroundings. Upon entering a concert hall, there will be a place where you can purchase tickets if you haven't already, or possibly a will-call window if you have pre-ordered them. Many classical music venues will have ushers who will show you to your seat. Upon entering, you will most likely be provided with a program or set list.
Socialize before the show starts. Classical music performances are a good place to meet some interesting people. Classical music draws a loyal and experienced following. If you're new to the experience, it can be easy to find someone to whom you may direct a few questions and enhance your learning experience. But when the lights dim all talking should cease.
Clap only after a composition is complete. A classical composition is commonly divided into movements that have distinct pauses. It is highly frowned upon to clap during the transition from one movement to the next. If it's your first time, you may just want to wait until others begin before you dole out your glowing admiration.