If you do need to come a little late and enter the room in the middle of the first breathing exercise, just throw your mat and down without rolling and straightening them out so you can get right into the exercise. It's so important to at least get a few deep breaths in before you start the postures.
If you come really late and the class has already completed the Standing Deep Breathing, most teachers will not allow you into the class. If you are allowed to enter, be sure to do a few deep breathing exercises on your own first even if the class has moved on to the first posture.
The golden rule of being on time is most important for newbies. Try to get there at least 30 minutes early to give yourself plenty of time to sign up, get dressed, settle down on your mat, and acclimate to the heat. Take a minute to introduce yourself to the teacher and let her or him know if you have any injuries that you're working through, so that she or he can guide you through the postures without exacerbating any issues.