I would be confused as fuck. At first I would wonder if I actually died or something, then convince myself that this is actually very real. I would look confused at the architecture and feel something familiar yet, very strange. If it is night, I would not expect to see much people out there. Probably the first thing I would notice is a hospital-themed place, and once inside I would probably see strange creatures I have never seen before, and many people with those creatures. I would look confused at them, until I realize that one of those animals is actually a creature I know from a video game. I would question again if I am alive or if this is an illusion or if I am just tripping. People would notice that I look confused and disoriented and would ask me if I am feeling alright or if I need any help? I would probably take my time to ask if that is what I think it is, and they would confirm it, again, looking weird, like if I was some sort of alien (which, in fact, I would be) Sit, and wait for a nurse, or a chansey to bring some water or anything, and being asked if I would like to spend the night in there, say yes, and go to sleep, hoping that it was all a dream or something. Wake up the next morning and finally accepted that I am in fact, in a world that I always wanted to visit, but still, deep inside, not sure if this is really happening. I would tell the nurse what happened, and given the fact that in the Pokemon world close to nothing makes sense, she would believe me. She would probably orient me, at least give me a spare Pokemon they have in there, hoping that it is one that I actually like, and if it isn't, I'm sure he or she would become my partner and probably best friend in there. She would give me instruction of how to reach whoever the authority is, to see if that person can come up with an explanation. It could be that an undiscovered pokemon species brought me to this world, who knows?
I would train hard with my buddy to survive and find answers.