There's no reason to worry: since you're running it for the first time the client's probably still downloading the basic game assets (common textures, 3d models, animations, sound effects, etc.) the game can't really work without. I don't know how much it needs to download exactly, but it could be several hundred megabytes. It'll then download the rest of the stuff as needed when entering new areas.
To avoid any long loading times in the future, you can force the client to download every game asset before starting the game by running it with the command line parameter -image, but that's likely to take several hours. Leave it on overnight or something unless you have a very fast Internet connection.
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