Well, since this is so general and not really asking for advice on anything specific, I can give you a couple general bits of advice.
First, try to sort through those muddled emotions as best you can. Surprise and confusion are pretty self-evident, but try to figure out the root causes of those other ones. Why are you excited? Is it because you're happy about this, or just because it's something new and different, or something else? Why sadness? Is this something you're not personally okay with, or is it something you're concerned will change your relationship, or something else? Why are you worried? Is it because you're worried about what others will think of you for dating a transgender person, or are you worried about what this will mean for their personal life, or something else? Just go for some deep introspection and try to figure out how you really feel about it. That should be your first step.
Second, be supportive. That's the main thing that people seem to fuck up on when it comes to friends, family, and loved ones coming out as transgender (or gay or various other things). Whatever you happen to decide about how you feel, whether it be that you're totally cool with it and happy that they've come to grips with who they really are or if you decide it's something you're not comfortable with in a romantic partner, no matter what goes on there, be supportive of their life choices. If you do decide it's something you're not okay with for a romantic partner, that's completely fine, but make it clear that it's because of your own preferences not because there's anything wrong with him, and stick around as a supportive friend after the fact if at all possible. If he wants you to refer to him with female pronouns instead (I'm assuming he's physically male based on how you phrased it), cool, do that. If he starts going by a different name to fit with his gender identity, use that name. If he asks for your presence as moral support when coming out to people, try to be there for him. Just general shit to show that you support him living his life the way he feels is right, regardless of however you happen to feel about it.
Third, sort of related to the being supportive bit, don't try to push him past whatever he's comfortable with and don't try to hold him back. I've seen quite a few people who try to pressure their transgendered friends and such into coming out to everyone sooner than they want to, or push them into radically altering their appearance to match their gender identity, and that's just bad. Let them walk at their own pace and you'll both be happier for it. I've also seen some people try to tell transgendered folks that they should slow down on their efforts to transition, such as arguing with them about pronouns and names and styles of dress, and that's also bad. It shows a lot of disapproval, and that of course is not helpful for someone working through a rather difficult and complicated personal issue. Walk beside them, don't get behind them and shove or get in front of them to halt their progress.
Hopefully some of that helps.
