I had a couple of different first jobs really.
My first real programming job doesn't usually go on my resume as I had the job for only 8 weeks and had enough mistakes and fiascos that I'd rather not have to explain how I messed up that much in one job.
In a co-op placement, where students alternate between work and school terms of 4 months each, I was placed at a bank in Toronto's downtown taking over for this student whose mother worked there and got him in over the summer. I was working under a manager, with a LAN administrator and network programmer on this IBM token-ring network doing all kinds of weird things now that I look back on it.
Most of my first week was spent trying to do some work without the right hardware, my boss on vacation and the summer student somewhat slacking off at that point. It didn't help that I didn't get to see a good flow of work and how things are to be done.
I learned that one should clearly know how the payroll is done, what is required, what is to be done on the job and to have good communication with the boss or face some really ugly situations. Since I didn't know about their summer student status I didn't realize that I wasn't getting paid until 6 weeks into the job and then learned that I had to do these big time sheets and that if they weren't done by x weeks after the date on them then I may not get paid for my work. This led to a bit of an emotional meltdown that was witnessed in the Men's room by a VP in the company that was the final straw on my employment there.
Another lesson learned was that sometimes a choice isn't really a choice after all. When asked about whether or not I wanted to learn about tape backups I declined and that apparently was a no-no that I didn't quite get until one of my few meetings with my boss that rarely were constructive as it wasn't like I was really a developer but more of a techie "fix this" role where this could vary from laptop security to network configurations.
My first out of school job was over in Seattle for a dot-com where I had a much different experience. I got my boss and the CEO to help me with my initial project and provide some support, guidance and most of all encouragement on my learning of things I didn't know before I started. Initially, I was working on some e-commerce transaction processing of credit cards but soon got into doing an on-line shopping cart and various other back-end customer service features like looking up a customer or preparing pages for publishers that needed to approve various products the company sold. This is where I got my first introduction to Microsoft Visual Studio, SourceSafe, IIS, MS-SQL Server, and NT Server 4.0. I learned a great deal over my years that company that evolved a bit and changed names a few times as well as going public and then going private in the end before finally going under in the end, though the founder did get a new job at another company along with some of the other assets that the company had in the end.