Yes, definitely get involved in extra curricular activities ... it is probably the easiest way to meet people. You should also talk to people in your classes. Once you get to know some people a little better, invite them to study with you, or find out about an interesting campus event, and invite them to go to that with you.
And do go to all your classes ... if you have to miss a day (sickness, etc.), make sure there is some way you can find out what you missed (i.e. online/printed syllabus, emailing the professor, etc.). And, if you have to deal with distribution requirements, try to knock them off as quickly as possible. And, like Ancalagon said, be prepared for the fact that there may be boring classes even in your major ... still try your best to do well in them.
If you know that you are going to be an economics major, it might be a good idea to start planning out your schedule (say, if you are at a 4-year college, plan it out for all four years), and seeing how you would go about getting your requirements done. If you plan wisely, there might even be room for some electives in your schedule!
And also remember, all freshmen are nervous, so ... you're not alone! 