Definitely for your first massage go with the light pressure. Just a standard swedish massage will do the trick. Then, once you're used to it, your next one can be done with firmer pressure. Disrobe to whatever level you're comfortable with (within whatever guidelines the student facility may have). If I'm at a full-on spa, getting some kind of scrub with my massage, I usually totally disrobe. If I'm at Massage Envy, just getting a massage and nothing else, I'll leave my undies on, but remove everything else. Therapists are always very careful, even when you turn over, to keep you covered so nothing is seen.
I had my first massage, almost 2 years ago, on my 40th birthday. I deeply regret that I didn't do them before that. I'm always so stressed and my muscles so tight, that I should have been doing this all along. I'm now a member of Massage Envy, which comes with a monthly massage. I sometimes don't make it in for months at a time, but that means I have a bunch of massages on the books and can schedule a 2 hour massage!! I literally have to sit for 30 minutes before I can drive when I've had one of those. It's the greatest thing ever!
After this first massage, you may find that you will want a male therapist. I usually prefer them, because they tend to be able to use a little more pressure, which I need. Everything is handled so clinically and so discreetly that I've never felt any weirdness about a male therapist.
Relax, stay hydrated and communicate your needs with your therapist. You'll love your first massage and I guarantee you'll go back for more!