Here is the manual for your camera (P520):
http/download3.nikonimglib.com/archive1/jKot300tVGnA002G3fN45WQGQz80/P520RM_(En)03.pdf
Sandisk, Toshiba, Panasonic, and Lexar, are approved by Nikon for use in this camera. For SD cards, 2 GB. For SDHC cards, 4 GB, 8 GB, 16 GB, and 32 GB.(on Page 21 of the user's manual).
Stay within Nikon's recommendations and all will be fine.
Personally, I recommend Sandisk 2 GB or 4 GB SD cards. They will hold hundreds of high resolution photos.
There is one more thing that you need to be aware of but no action needed at this point; and that is updates for the firmware in your camera. We can look into this later. Cameras too require firmware updates just like PCs; less critical.