Hey Balmog,
Welcome to Wickedfire.
Here is my advice to you concerning niches:
1. Pick a niche you can relate to. Since this is your first time, pick something you're actually interested in. What motivates you? What are you passionate about? What types of things do you like to do in your spare time? Do you collect anything? What kinds of products do YOU buy online? Ask yourself these questions when narrowing down your selection.
This first step might take a couple of days. Often times picking out your niche is the hardest part.
2. Once you've picked out a niche, it's time to write some content. Since you should be (somewhat) interested in the niche you chose, this shouldn't be too hard. Get a blog/website and write a few articles about your product/topic. Put some Google Adsense on your site.
Remember when writing your content, select a few main keywords you want to use, and integrate them frequently within your articles. This will help the search engines in finding you when people are searching for your niche.
3. At this point, you should have your niche website online with a few original articles in place. The next step is to search for affiliate programs related to your niche. Using a combination of text links, banners, and buttons from these programs, you should be able to drive visitors to your affiliate offers. Review the product(s) you're promoting. The more helpful you are to your site's visitors, the more likely it is that they will trust you and click on your affiliate links.
Best of luck!