As far as advice or an explanation on why you might be nervous, I think it's just that you're human. Most people would be a little nervous in this type of situation. Even though it probably sounds impossible, I think the advice to try not to worry too much and just follow her lead is the best thing to do, provided you like this girl and are comfortable with the idea of sleeping with her.
For what it's worth, I agree you should be prepared with protection and doubt many women would ask someone they've been seeing for a few months to spend the night at their place without realizing they were sending a message. I mean, if it's not really "her place," per se, and she still lives with her parents, then it might be presumed you'll be sleeping on the couch or something. Otherwise, I think she realized signals she was giving you and is at least open to seeing where things might lead.
And, even if it doesn't go as well as you might want, it's not the end of the world. If you guys really care about each other and are meant to stay together, an awkward first time should not be a deal-breaker. And, if for some reason things don't work out between the two of you later on, you'll have gained some experience for the next time.