For this lesson you'll need some paper - office paper, cartridge paper or a sketchbook. I've used a HB and B pencil, but any pencil you have will do, and you'll need an eraser. A sharpener is a good idea too. You'll need a subject - something to draw. A piece of fruit is a perfect first subject because of its natural, irregular shape - I've chosen a pear, as its shape is more interesting than an apple.
A strong single light source gives you more dramatic highlights and shadows
Some artists like to blend (smudge) tones, but while you are learning to control tone, it is better to leave pencil marks. With practice your shading will get more even.
Don't worry too much about 'mistakes'. A few stray lines can add interest and life to a sketch.