First of all...calm down. Its a process. I know it sounds scary, but if you are calm it will be lots lots easier
Remember...they WANT to like you. They want you to be good so their show will be good. Its also probably good to remember that you haven't had any expirience before. Go ahead and audition for the lead, but tell them you'll take any role. Don't be devestated if you dont' get it!! Acting is a craft, and like anything else...it takes LOTS OF PRACTICE, not just talent to make it work. You may have the talent, but don't forget that some people have been doing this for years and years. If you like doing this show...then you've really found something you can stick with! I've been doing shows pretty much my whole life...and its really something I've come to adore. Give yourself time to work on it...don't give up if it doesn't work out this time.
The audition will probably be all roles at once...then readings leads/speaking roles, and dance. Bring 2 songs to sing...a uptempo one and a ballad. Make sure they are BROADWAY songs and not songs off the radio or with tapes. (they don't have to be from The Wizard of Oz, but they can) Bring your sheet music with you in a folder of some kind so the pianist can play it. Most of the time they want to hear just 16 bars from the songs...but they may ask for the whole thing. Be prepared to do whatever they ask vocally. Have your 16 bars marked off for the pianist. Sometimes they may want you to sight read something...just do your best.
Bring comfortable clothes and dance shoes for the audition. If you don't have dance shoes, wear tennis shoes or something comfortable. If you mess up the dancing, just act like you didn't and be cute and maybe no one will notice. Never get mad at yourself and make a face if you mess up.
They will ask you to read from the script if you are called for the lead. Again, just do your best. Think about WHO Dorothy is...how she would say things...and how you can use your VOICE and BODY to be her.
***Good luck on your audition*** Remember...its good expirience even if you don't make it. I would encourage you to do the show to be in chorus or whatever. Its really good expirience and you may just fall in love with it. Let us know how it went!!!