One of the best things you can do for yourself as a parent-to-be is understand the physical and mental aspects of newborn sleep and prepare yourself for the differences from adult sleep. There are many books on the market which explain the reasons why newborns sleep the way they do which you may want to read for more in-depth information. In summary of those books (as I am not a sleep expert nor a doctor, so the books are all I have to go on), however:
1) While newborns sleep around 16-18 hours out of every day, this sleep is broken into stretches of 2-4 hours around the clock. Newborns do not have a concept of day versus night until their day-night sleep rhythms mature at 6 weeks. According to the pediatrician I see a newborn's longest stretch of sleep is 4 hours. If you wake your newborn to eat at the 3 hour mark during the daytime you can preserve this 4 hour sleep for nighttime.
2) Newborns first fall into light, active sleep. This period of light and active sleep lasts for 15-30 minutes. This is why a new parent might get a newborn to sleep and then be surprised to find that the baby wakes up instantly on being put down. Between 3 and 4 months this pattern will change and the baby will fall into a deep sleep at the first part of the sleep cycle.
3) An infant sleep cycle lasts about 45 minutes as opposed to an adult 90 minute sleep cycle. Half of this time is spent in REM sleep and half in non-REM. Non-REM contains 4 stages of sleep: drowsiness (eyes may be open), light sleep, deep sleep, and very deep sleep. In those 45 or so minutes babies will cycle from 1 to 4, then back to 2, then REM. That's a lot of time not spent in deep sleep.
4) Babies vary wildly in their sleep personalities. Some newborns have a very difficult time learning to sleep, some seem to have been born to do it. And even a good sleeper early on may "wake-up" in the 3-6 week range and become more difficult. Work with your baby on sleep, don't expect to change him or her.
Newborn sleep is very difficult, but thankfully the newborn phase is short.