Clean it thoroughly. They come from the factory with a lot of preservatives. The dirtiest gun I ever cleaned was a brand new BT380.
After cleaning, put the recoil spring on the barrel with the tighter end towards the rear, and make sure the end of the spring wire on the front is at the 12-o'clock position. It may not look like there's a tighter end but if you tip the gun forward with the recoil spring on, if it slides off the barrel then you have the loose end on first. If it stays on then you have it the right way on.
Don't invest heavily in one brand of practice ammo until you know what brands it likes. I've had problems with Sellier and Bellot but everything else has fed perfectly. Others report problems with Winchester white box because of the flat point, at least until it is broken in a bit.
Also, new Bersa shooters often tend to shoot low and to the left. Don't mess with the adjustable sight right away trying to "fix" it. If you do adjust the sight, use Blue Loc-tite on the sight screw threads so that it doesn't come completely unscrewed during firing.
That's about it. Spend a little time getting used to it and you'll be quite happy with the results.