The first day is usually about becoming familiar with the company, their work, and their clients. It usually means reading a lot and filling out paperwork. But, in many cases, working at a music company (including places like an agency, management company, or record label) part of your first day is likely to be spent listening to the music of the company's clients, so bring a pair of headphones (earbud style, not big ones) just in case.
The first day can be weird because you have no clue what the routine is yet. Do you get a lunch break? Where can you actually get lunch nearby? Do you have to ask to take a break? How long are you allowed? These things may or may not be reviewed and you may feel too nervous to ask too many questions. You should, of course, try to clarify so you don't spend every day trying to sneak out to get lunch and wondering if it is okay. For now though, make things easy on yourself by packing both a lunch and an extra snack for when you get hungry and aren't quite sure what the rules are.
As I mentioned, the first day usually involves a lot of paper work. One thing most paper work will require is contact info for someone at your school is advising you during you internship. So come prepared with information for who this might be and how to reach them. Also, be sure to thoroughly read and understand everything you sign, don't be afraid to ask questions.
Yes, it is an office and they will have pens, but again, it can help you feel a little more at ease if you don't have to spend time figuring out where they said the supply closet was in that 10 minute tour of the office where you met 50 new people and had to try to learn to navigate things.
You'll probably want to take notes and they might not give you something to do that with. So be prepared.
Bring your license or some other form of ID. You'll likely need an ID to enter the building and you may need your license number for those aforementioned forms.
What would you add to this list?