When I was 15 I went to Toronto for 4 weeks to learn English. It was brilliant, I had an amazing time and more than anything I learned a whole lot, not only about living abroad, but mainly about trusting myself and sticking to my guts. After I landed, there I go to the immigration line and when I got to the window.... red flags everywhere... a 15 yr old travelling alone, they got very suspicious. I had papers from the school, my visa was right, but they had to do their job.
Into a little room they took me, my English was so bad at the time that they had to find a translator and on top of it all, I couldn't understand why they didn't believe me. I am glad that this wave of self-confidence came over me and I was just telling them over and over why I had traveled all the way from Brazil to Toronto... to study English!!!
A couple of hours later they made some phone calls, the school also confirmed, that indeed, I was meant to be going to school there. Alleluia, I was free.
Funny enough, or not, the first time I went to Switzerland I got stopped! Again! Maybe I just look suspicious... apparently, the schools pass on the information to immigration about any foreign students they have and this school hadn't done it for me. This time wasn't so bad, I was 20, knew my place in the world kindda thing, plus the Swiss are super organized, it took only a few minutes and I was off.
If you find yourself in a situation like that, all you can do is stay calm. Immigration will do their job, we are entering a different country and they've seen it all. A lot of times they get it wrong, and unfortunately, I truly believe that they do. But I also believe that most times they are right. If you have nothing to fear, then you will be fine.