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Each pan needs to be "seasoned" before you can use it.
"Seasoning" basically just means rubbing oil all over the pan and baking it at an extremely high temperature. This will fill the pores of the cast iron to make it non-stick and ready to use for any and everything. Now, it is possible to buy pans that are pre-seasoned, but you should still go through the process a couple of times, anyway, just to be safe.