Check the instruction manual; lots of good info there. It will tell you to clean and lubricate the pistol prior to firing it for the first time, and also show you the lubrication points. Glocks don't need a whole lot of lubrication, unlike some other guns. As Zhurdan said, above, the stuff the factory puts in/on the gun is to preserve it, not ready it for firing. The only exception is the copper-colored stuff on one side of the bottom of the slide; leave that in-place when cleaning and firing for the first time. It is some kind of anti-seize compound, it helps some of the parts get broken-in/smoothed-out during firing, without excessive wear. After the first or second range trip, you can clean this stuff off, too.
Feed it full-power ammo, especially when it's new. I'd recommend CCI Blazer (the original Blazer, with the aluminum casings; it's what the Glock factory uses to test-fire most of their guns), Winchester/USA white-box ammo (either the 50-round flat box, or the kinda-cube-ish 100-round value-pack), or other full-power ammo. I'd stay away from the cheap import stuff, and really lightly loaded target ammo (like Walmart's Federal Champion load).
"Placement is power" -- seen in an article by Stephen A. Camp
(RIP, Mr. Camp; you will be remembered, and missed)