Welcome to WaltherForums!
You've made a GREAT first choice in a gun. I also bought the P99 as my first pistol, not really knowing what to expect. But the more guns I shoot, the more I realize how really well engineered and manufactured this puppy is, and the more I like it.
Break-in of a gun is fairly simple. The general recommendation is to field-strip and clean the gun of any possible residual machining and manufacturing '****', reassemble and lightly lube, then shoot a few hundred rounds of factory ammo, say around 200 - 300 rounds. You'll probably find that the P99 doesn't really require any break-in, but hey... it's fun to make some noise with your first gun, anyway.