It is important for the new collector to tell the dealer that you are, in fact, new to the hobby. If you try to hide this fact when he asks you "What do you collect," with an answer like "A little bit of this and a little bit of that," you will be on the receiving end of, at best, an odd look; at worst a slightly more polite version of "Go away kid, ya bother me." The dealer doesn't have a stock book labeled "a little bit of this, a little bit of that."
It's good to narrow down your interests to the minimum before you walk into stamp show. When you've accomplished that there are other protocols you should follow to make your experience a good one:
Try to visit a number of dealers at a stamp show that correspond to areas of your potential interest. Listen to the collectors and dealers interact. Is there a spark of excitement between them that could be a tip off that the area is one that will hold your interest enough to form your own collection?
Don't be afraid of the bargain boxes. You may have slick suited salesman at the auction house booth right across from you as their table displays items worth thousands and you sift through the dollar box. Don't be intimidated. Real collectors will tell you some of their favorite items are cheapies. Buy a few items in your possible areas of interest - live with them and see if they feel right.
If a bigger show, do some homework before you attend. Find out what dealers are at the show, what their specialties are and plan your buying accordingly. The philatelic press will often list the dealers at larger shows.
Grab every freebie you can find. There will be auction catalogs, club publications, stamp journals and newspapers...all for free. There is a school of thought that says "don't pick up an auction catalog unless you plan on bidding in the auction." The cover or title page will always tell you what will be offered. If it is in your area, pick up the catalog, even if you're a beginner; i.e., if you've never bid in an auction. If you don't find anything of interest, drop the catalog off at your local stamp club. At least one member will be interested.
Talk to dealers. Of course use common sense - don't bug a dealer with questions if he is busy. But if you can hit a dealer's table during a lull you can have a brief bull session while he shows you stamp stock that may be of interest to you. You can get many dealers to hold forth by asking a simple question like "Is <the country/topic of X> a popular one?" Often - though surely not always - the dealer's extemporaneous talk will answer other questions you have. Just make sure the dealer has a good reputation for specializing in the area you are wondering about.
Time yourself. There may be a dealer that has the potential for having some great stuff in his stock; or he may just have the info you're interested in and you want to hang around to shoot the breeze. Great, but limit your time. A big show has a lot of treasures -- hidden until you determine which dealer might have the booty you seek. You have to explore before you can plant your flag.
It is natural to be wary when you have minimal knowledge of the hobby and perhaps only the smallest clue of what you really want to collect. The new collector hangs on tightly to his wallet, fearing that he will be misunderstood, and sold something that he doesn't really want. (Because he doesn't know what he really wants.)
As a new collector at a large stamp show it is important to focus on a few select areas. Even if you're not sure that you'll be in them for the long haul, you must start somewhere. There are no penalties for starting over, and chances are the material you've picked up can be resold later, so you can get some of your money back. After all, in stamp collecting half of the fun is in the search. Even if it is a search for what you want to be searching for.