The most important thing I can urge you to do is to put your life into God's hands and seek His will for your life. God loves you, and He cares even more about your future than you do. If you have never done so, invite Christ into your life and begin walking with Him every day.
Then I urge you to assume that this is where God wants you right now, unless He clearly tells you otherwise. In other words, don't constantly ask yourself if you made the right decision or question whether or not this is where you ought to be. Learn to look forward instead of backward, and thank God for the new opportunities and experiences He is opening up for you. God often directs our paths even when we aren't aware of it; we only realize it later.
In addition, don't be distracted by all the social activities that are probably going on around you, and keep yourself from sin. Seek out other Christians on your campus also; they can help you adjust and learn to live for Christ. Be diligent in your studies, but also take time to relax.
Most of all, seek God's will for your future -- your career, your relationships, everything. The Bible says, "In all your ways acknowledge him, and he will make your paths straight" (Proverbs 3:6). God knows what is best for you, and life's greatest joy comes from knowing Christ and following Him every day.