Wear loose clothing or exercise clothes. It is best if you do not wear socks and you should also bring a bottle of water to drink.
KYL already has these items for student use but if you are going to a new studio and you don't know what they have available to use or rent, you should consider bringing an exercise pad or yoga mat, a pillow/cushion to sit on (or to prop your knees with) and a blanket to cover yourself with during deep relaxation. This ensures that you will have all of the necessary tools to help you enjoy your experience. Remember - you do not have to do anything perfectly in Kundalini Yoga. Just lean in the right direction and you'll still receive all of the benefits. If a posture is too difficult, just close your eyes and image that you are doing it perfectly as the mind really does not know the difference.