Congratulations !!!!
First, spend some time here checking things out and learning about the rower and how to use it best:
https://www.concept2.com/indoor-rowers/training
Damper on 5 is a good place to start. Maybe eve a tad lower. If you want to get a bit more technical, on the options on the PM pick the "Show Damping Factor" and row a bit and see where you are. A DF around 100-140 is good, but pick the one that feels "best" to you. It is somewhat subjective, but you'll soon be able to tell the difference. Whatever you do, unless you're a super-strong guy doing a sprint, don't just slam the lever to 10 and row.
The best way to loose weight is long, slow rows (and cut down your calorie intake). If you row too hard you'll burn a lot of calories in a short period of time, but not as many as you will rowing slower and for a longer period of time. As you've probably already figured out, rowing fast is HARD. But work at it, and you will most certainly improve over time. All it takes is dedication and effort. Your body will respond.
To keep things "down there" in place it helps to use the correct type of shorts. I have a mix of old cycling shorts with worn-out chamois and "real" rowing shorts. Some folks say cycling shorts don't work on the erg. They do for me. But there are plenty of rowing shorts available online.
Good Luck : )