During the Concert

When should I clap?

This is the number one scary question! No one wants to clap in the “wrong” place. But it's simpler than you may think, and quite logical on the whole.
At the beginning of the concert, the concertmaster will come onstage. The audience claps as a welcome, and as a sign of appreciation to all the musicians.
After the orchestra tunes, the Maestro and possibly a soloist will come onstage. Everyone claps to welcome them, too. This is also a good moment to make sure your program is open, so you can see the names of the pieces that will be played and their order.

When everything settles down, the music begins. Just listen and enjoy! The audience doesn't really applaud again until the end of the piece.
In most classical concerts—unlike jazz or pop—the audience never applauds during the music. They wait until the end of each piece. But this can be a little tricky, because many pieces seem to end several times—in other words, they have several parts, or movements. These are listed in your program.

In general, musicians and your fellow listeners prefer not to hear applause during the pauses between these movements, so they can concentrate on the progress from one movement to the next. Symphonies and concertos have a momentum that builds from the beginning to the end, through all their movements, and applause can "break the mood," especially when a movement ends quietly. Sometimes, though, the audience just can't restrain itself, and you'll hear a few enthusiastic applauders—or a lot of it—during the pause before the next movement. It's perfectly okay to join in if you enjoyed the music, too.
(By the way, disregard anyone who "shushes" you for applauding between movements. It's only been in the last 50 years or so that audiences stopped applauding between movements, so you have music history on your side!)
What if you lose track, and aren't sure whether the piece is truly over? One clue is to watch the conductor. Conductors will lower their batons at the conclusion on a work. Usually, s/he won't relax between movements, but keeps their hands raised; the attention of the musicians will remain on the conductor. When in doubt, it's always safe to wait and follow what the rest of the audience does!

At the end of the piece, you can let yourself go and let the musicians know how you felt about their playing. Many pieces end "big"—and you won't have any doubt of what to do then! Some end very quietly, and then you'll see conductors keep their hands raised for a moment to "hold the mood." Then the hands will drop, that's the time to clap. There's no need to restrain yourself any longer.

What if I need to cough during the music?

Everyone gets the urge to cough now and then. Worrying about disturbing your fellow listeners is a laudable impulse, but don't let it ruin your enjoyment of the concert. There's a funny thing about coughing—the less worried you are about it, the less likely you are to feel the urge. So chances are you'll feel less need to cough if you're prepared.