Early sales for mass market cars were done through dealerships, but not like you think. The dealer with a glass showroom, parking lot full of new cars for sale and parts and service departments did not exist. Dealers were generally people who owned an existing store, usually a hardware or feed store, something like that where they had experience handling big ticket items. The cars were delivered in a crate and still required assembly. Some early dealers realized that by hiring a mechanic to put the car together they could get more sales and charge more, and the development towards the modern dealership concept started.
Higher end cars were generally sold to or through a coachwork. The manufacturer provided the frame and drivetrain, the coachwork built the body and interior on custom order for a wealthy client. Many high end cars you see from the 1920's or older were made this way, and the manufacturers often contracted directly with the coachworks to build these custom bodies. Eventually the need to maintain consistent quality control, and to control their own brand led car manufacturers to internalize coach building, by WW2 the era of factory customs was largely over, although it has kept alive in several forms since then.
This is a great question! There were actually a number of ways that companies sold their automobiles. I'll take you through a number of them.
The earliest automobiles were sold out of the factories they were built in, a trend that continued up until the mid 19-teens. Companies were low-volume manufacturers; The Winton Motor Carriage Company was the largest in the U.S. in 1900 with over 100 autos sold. Alexander Winton refused to have a car made until he had an order from a customer. Companies would often have one of the company mechanics deliver the car to the customer if the customer was nearby; a man, Brenton Dixon, in my hometown outside Boston, whose memoirs I indexed for the local historical society, purchased a Corbin automobile in 1906 directly from the factory (the auto was later given to the town and converted into its first motorized fire engine, and is now in the hands of a good friend of mine). The Corbin was a business venture of the still-extant American Hardware Corporation of New Britain, Connecticut; the car was delivered by the head mechanic at Corbin, who showed the customer how to operate the car. If it was too far to be driven, autos purchased from the factory would be shipped by rail. Customers interested in purchasing an automobile would look in magazines like The Horseless Age or MoToR, which would be chock full of ads, and published the results of races and endurance tests and new innovations in the industry. Advertisements would invariably include instructions to "Request a Demonstration" or "Write for a free illustrated catalogue." These would be delivered straight from the factory.
Mail-order automobiles were also quite common for a time. The Metz automobile was sold in 14 packages at $25 each - 14 packages made a complete car. They were delivered by mail, and could be completed by the customer or a local mechanic, or an entire, prebuilt car could be purchased from the factory for $600. Sears, Roebuck & Co. also offered an automobile in their famous mail-order catalog from 1908 until 1912: a two-cylinder high-wheel buggy.
Dealerships emerged early; the first dealership was opened in 1899, in Reading, PA. It sold Winton Automobiles. Auto dealerships weren't always tied to one marque, however, and many had businesses on the side (or the dealership was the side business). Dealerships really took off with Ford; one of the reasons the Model T was such a huge success was because it was sold through the national dealer network established to sell the N, R, and S model Fords.
As for the second part:
Were there lessons for 1st time drivers?
Sometimes. The head mechanic who delivered the Corbin to Brenton Dixon's father also showed him how to drive it. If the car was delivered by mail, like the Metz, it also invariably included instructions on operation. For popular cars like the Ford T, there were reference books like Victor Page's The Model T Ford Car that included a complete reference for how to operate the car. The novelty and relative impracticality of the early automobile meant that many of the automobile's early purchasers were people who were already mechanically inclined, and interested in it as a curiosity, so they were quite capable of self-teaching themselves; there was also far less traffic on the roads, so it wasn't dangerous to teach yourself on public roads. One of the major barriers to the establishment of things like driving schools was the complete lack of standardization in regards to controls. The modern clutch-brake-gas pedal layout wasn't introduced until 1916; the Model T, for example, had the throttle lever on the steering column, a clutch/gear selector pedal, a reverse gear pedal, and a brake pedal; the more conventionally-laid out Packard nevertheless had the gas pedal in the middle, with the brake on the right and the clutch to the left.
Hope this helps!
Edit: totally forgot my sources. In no particular order:
Sears, Stephen W. The American Heritage History of the Automobile in America. New York: American Heritage Pub., 1977. Print.
Kimes, Beverly Rae. Standard Catalog of American Cars, 1805-1942. Iola, WI: Krause Publications, 1996. Print.
Dickson, Brenton H. Random Recollections. Weston, MA: Nobb Hill, 1977. Print.
Clymer, Floyd. Treasury of Early American Automobiles. N.p.: Bonanza, 1950. Print.
