The most common reason the new student feels dizzy in class is not breathing efficiently.

There's a lot going on in your first few classes: you're trying to listen, contemplate the sweat dripping off your calves, understand what we mean, stay in the hot room and attempt some yoga postures in the meantime.  It's understandable that most new students forget to breathe, particularly if you have an athletic background and are used to being "good" with your body.  Let's get one thing straight.  The only way you're going to be "good" at yoga is if you've been doing it for years.  Everyone struggles their first few classes.  Professional athletes.  Ballerinas.  Everyone.

Unless specified by your teacher, your breathing should be normal in all postures.  You should never be holding your breath in any yoga pose. Without the breath, you are not doing yoga, but calisthenics in a hot room.  The benefits of yoga come from increased circulation of high-speed, oxygen-rich blood.  If you're holding your breath, the only thing your blood will be rich in is carbon dioxide, a waste product.

At any time, if you are gasping for breath or unable to control your breath, that is an indicator from your body that you are doing too much today.  Slow down, don't approach the postures so aggressively until you have your breath under control.  Grunting, groaning and straining are all indications of trying too hard.  There is no additional benefit to trying too hard, only to trying enough.  One of the most important tools you'll learn in yoga is how to respect your body's limits on any given day.

In addition, you sweat a lot in class.  The water for that sweat comes from your blood volume.  If you're not used to sweating out a liter of water in 90 minutes, you may feel a little lightheaded in there.  Give yourself a few classes to acclimate to the heat.  This yoga is done in a hot room or a hot country (India) all over the world every day and many yogis feel dizzy just like you.  New Englanders usually need about 3-4 classes to retrain the body how to sweat efficiently to maintain a stabile body temperature and blood volume.  Most yogis sustain an internal temperature change of only 0.6*F during class, that's how efficiently your body can cool.

To aid this process, be sure to come to class well-hydrated and well-nourished.  Drink a bare minimum of one ounce of water per two pounds of body weight per day.  Drink an extra liter on the days you practice Bikram Yoga.  You don't need to starve before class, either.  In fact, most students find that they need a light snack in the morning before class or 1-2 hours before an afternoon class.  Just don't eat a cheeseburger and walk through the door.  Give your body plenty of time to digest a high-fat, high-protein meal.

With that said, if you continue to feel dizzy in class on a regular basis for several weeks, you may want to consult your doctor.  In a few rare cases it may be caused by a heart-related condition.