Before first use it's a good idea to soak it in a sink overnight. Use a flame tamer over a gas hub. Heat it up slowly. I have numerous clay pieces and so far I haven't had one crack.
I believe tangines are usually clay or ceramic. Some are glazed and some are unglazed.
You will need to cure it before the first use. The link below shows several different ways to cure a tangine, with helpful photos too! It is from the blog of tangines.com, a website Paula Wolfert suggests too.
Tangines are placed directly on the stove top for cooking. The blog also has some recipes if you're ready to try out your new cookware.
All the advice you have received is terrific and correct. Unfortunately some tagines are not made for traditional stovetop cooking. Would you mind posting a photograph on the Facebook Moroccan Cooking Group site with your query? I might be able to give you the info on your new Tagine. ,