If you have no idea your best bet is to google sling library and where you live - that should tell you where your nearest library is and, if you go along, there will be slings you can borrow and someone who can help you with how to wear them properly and safely.
A wrap is a good introduction to baby wearing because (a) size is adjustable because you're basically tying a long bit of fabric around you; and (b) they are cheap (one I had cost around £15, you don't need to splash out on one of the fancy 'brands' like mobywrap) so if you decide baby wearing isn't for you, you haven't spent a lot of money.
If you do find you enjoy baby wearing using a wrap, then you may find you can progress to the one that you were given when your baby is bigger and can fit in it (usually around 6 months/when they can support their own head).
Suggest you look at youtube clips of people tying on a wrap and putting their baby inside (just search 'moby wrap how to' on youtube).
I had a ring sling. It's really easy to put on, it's just two loopd that go over your head and a seperate bit that wraps arounr your waist. They come in sizes though so may not fit both parents. It is good for cradling a newborn. I didn't get much use out of mine though so I would either borrow or go second hand.
Yes, they are fantastic, but I would recommend you try go to a sling library/meet or try one out with someone who can show you how to tie it. It is quite simple once you've done it yourself, but if you've not been shown it can seem very daunting. Anything titled a 'stretchy wrap' will probably do you fine for a newborn. Moby or Hana are two well known names.