There is no set procedure, only guidelines I think. All the suggestions/links so far are good; I'll just go over quickly what I do when I enter an Orthodox Church (not that what I do is important, but just to help add to the other posts so that you can get a general feel for what people do).
If there is an icon of the church's patron just inside the front door, I reverence this icon, and then usually... um... let me phrase this gently... take steps to assure that I won't have to leave during the middle of the service to relieve a pressing concern.
I know that may seem crude to mention, but I think it's a sensible thing to do, so I mentioned it. I then go into the nave (as amator pointed out, this is what I called the "sanctuary" as a Protestant.. interesting..), and reverence the icons that are in the back, where you first enter. I rarely do 3 bows and crosses, though some people do; I do take my time though. What happens then depends on what time I get to the church. Usually, since I get their well before the service, I go up front and reverence anything that it would be proper to, and then I usually go to my seat ( forgive me
) after that. In one Church, Saint George in Altoona PA, I stop and reverence the icon of Saint Mary of Egypt, since it is my Wife's patron.
I then pray a few prayers, mostly asking for forgiveness of sins, and that I will be able to concentrate on God (young men sometimes have wandering eyes, unfortunately), and understand what is being said during the service. (the Churches I've attended have almost all been in English, by "understand" I mean to understand on a deeper level, not just what is technically being said.) After this (having done pre-communion stuff the night before) I look through the bulletin, which usually has some relevant information (readings, info about one of the saints of that day, etc.). My goal is usually to have at least two things after the service that I want to research; this helps me pay attention more than I probably normally would (I come from a background that had quite vibrant singing, and shorter services, so I sometimes still "zone out" unfortunately). As an example of what I might research, I might pick out one thing from a kontakion that was said about a saint to research, and one thing that the Priest said in his Sermon. (When I say research, I just mean getting a bit more info, I don't mean I spend the rest of the day researching... that doesn't happen often, anyway
Whether you light a candle, what prayers you say, and so forth, are basically up to the individual (unless your spiritual father directs you to do things a certain way, or there is a standard practice at a parish that the Priest asks that you follow). If you still feel uncomfortable, maybe you can pick out someone who seems approachable and ask them what they do. Say hi, and see if they seem willing to talk about Orthodoxy. If they do, fire away