It was a "freak-out" for me too. I was lucky because my father-in-law was already using a CPAP when I had to go in for my sleep-study, so he was able to answer my questions about the machine and the sleep study itself.

By the way, if you can only sleep on "your" pillow, bring it with you to the sleep study. I've had two sleep studies and it was definitely easier falling asleep when I had "my" pillow.