When talking about an event that has occurred, avoid adding first unless you are referring to the initial event. For example: “When we were first married….” This would apply to two people who had been married to each other but then got divorced and remarried. Just say, “When we were married….”
You may also hear something like this: “I first met Bob at the shareholders’ meeting.” Actually, he met Bob there, but later saw him again (or spoke with him or otherwise interacted with him). Once you’ve met someone, the person is no longer a stranger.