Iterations and iteration length
Scrum is an iterative, incremental delivery process. Each iteration, or Sprint, as they are known in Scrum, lasts between a minimum of 1 week and a maximum of 4 weeks, with the preference being for as short as possible. Shorter iteration lengths are what give our team its agility, as we get feedback at the end of each iteration; the sooner we get feedback, the faster we can adapt our approach.
If your team is new to working iteratively, there's no denying that it will feel odd at first. Based on experience, my recommendation is that your team picks an iteration length that feels slightly shorter than comfortable. Taking this approach will give your team an opportunity to improve their process so that it fits the iterative style, and challenges them to change up their thinking.
What this means is, if you think 4 weeks is comfortable in which to deliver a working increment, choose 2-week iterations. If you believe that 2 weeks would be more than comfortable, opt for 1-week iterations.
The Scrum team should fix the iteration length, so pick an iteration length and stick to it. If after six iterations it isn't getting easier, then perhaps change the iteration length. Remember, the preference is always for the shortest iteration length possible.