Happens to everyone. Go on youtube and watch how people steer especially at different cornering angles. Make sure you don't cross your hands, or let go of the wheel and expect it to straighten itself out (Works at times but it would get you a few deductions during a test).
(Original post by 2_plus_X_equal_me)
Some of you guys deserve a cookie for stating the obvious...
"I just had my first driving lesson and my instructor said that I'm good with the pedals but my steering needs work."
After reading that i don't think the OP needs someone to tell her that her steering needs to improve but she's ok with the pedals.
...I don't think you got the joke.
But in all seriousness OP, that's fine. It's your first lesson, it doesn't matter if you were absolutely terrible. The first few lessons are a learning curve until the driving feels more natural, as long as you progress that's the main thing.