When you arrive you'll be given a cowboy hat with a team colour, yellow, green, blue and red and allocated your seating in the stadium accordingly. Each team has a "clown" who gets the crowd going, there's a lot of yeehahing, everyone's encouraged to participate.
For the actual show itself have a look at this thread
http://www.disboards.com/showthread.php?t=1357699
and in one of my posts there's a link to a Youtube video which is very good.
It's all very good fun!