The young ladies on this site strongly disagree, but the etiquette rule is that someone else throws you a shower, preferably a friend rather than your mother or sister. This is all because of etiquette rules about not looking grabby or like you expect others to pay for things that you and your family are otherwise expected to provide.
THAT SAID, lots of family members do throw showers, and most especially, there is no rule against you asking someone to throw you a shower, and providing help with decorations and invitations, and helping to pay for the cost of the shower. Not looking grabby is served by you having someone else host.
I belive someone has a baby shower for you but you can always plan your own since it's your first baby