I can relate entirely. I didnt know what to do on my first b.day celebration either. In the end, i made my daughters day simply all about her and made it her day. Cake and presents at a minimum but i found she was happy with that alone. It was just me and her because we didnt know anyone yet.
For her next one, i held a small party of her best friends, kids games, bouncy castle and i made goody bags for the kids to take home - little bags with sweets (candy) and toys.
As for my birthday... i could still take it or leave it. It has no feel. Thanks Watchtower :(