What should I learn first when I am new to chess???


I can give you a half-a**ed answer if you like...

Geez, here comes a somewhat serious response. (I feel so dirty...)
Learn general opening principles and basic tactics, including the tactic of counting. (See the counting link below.)
https://web.archive.org/web/20140615153114/http://www.chess.com/article/view/counting-vs-counting-material
You don't need to read all of the Novice Nooks that the link references, but at least read "A Counting Primer".

The first thing you should do is learn how to move the pieces and take the other guys pieces. then learn how to avoid getting your pieces taken. Finally, use the tactics trainer and start playing lots of game. Are you 43 years old?

You can't play a reasonable game against anyone until you can make moves that won't simply leave your pieces free for the taking. So definitely work on that first. You also want to get the basics of counting. When I say counting, I mean understanding whether or not a piece or pawn is adequately defended. In general, it's adequately defended if there are an equal number of pieces attacking and defending it (and the pieces involved are the same value) This is very important to learn, even before opening principles or tactics.

Nice link, @Batgirl!
I was going to write something, but read that article first. Then, when you have questions, ask! And yes, you will have questions!

Rule number one: your opponent doesn't have to resign even in a losing position. Rule number two: your opponent never has to give you a rematch. Rule number three: Don't feed the trolls.
Apart from the rules, it seems to me that there is a good chance that it will not make much difference. For most people, I think a lot goes wrong at the beginning. Just from the point of view of not having an experience that is too unpleasant, I suspect that it is a good idea to start with some sample games that have been explained for beginners. Here are some books that may possibly be of interest:
Simple Attacking Plans by Fred Wilson (2012)
https://web.archive.org/web/20140708090402/http://www.chesscafe.com/text/review874.pdf
http://dev.jeremysilman.com/shop/pc/Simple-Attacking-Plans-77p3731.htm
Logical Chess: Move by Move by Irving Chernev (1957)
https://web.archive.org/web/20140708104437/http://www.chesscafe.com/text/logichess.pdf
The Most Instructive Games of Chess Ever Played by Irving Chernev (1965)
https://chessbookreviews.wordpress.com/tag/most-instructive-games-of-chess-ever-played/
Winning Chess by Irving Chernev and Fred Reinfeld (1949)
https://web.archive.org/web/20140708093415/http://www.chesscafe.com/text/review919.pdf
Back to Basics: Tactics by Dan Heisman (2007)
https://web.archive.org/web/20140708233537/http://www.chesscafe.com/text/review585.pdf
Discovering Chess Openings by GM John Emms (2006)
https://web.archive.org/web/20140627114655/http://www.chesscafe.com/text/hansen91.pdf
Openings for Amateurs by Pete Tamburro (2014)
http://kenilworthian.blogspot.com/2014/05/review-of-pete-tamburros-openings-for.html
https://chessbookreviews.wordpress.com/tag/openings-for-amateurs/
https://www.mongoosepress.com/catalog/excerpts/openings_amateurs.pdf
Chess Endgames for Kids by Karsten Müller (2015)
https://chessbookreviews.wordpress.com/tag/chess-endgames-for-kids/
http://www.gambitbooks.com/pdfs/Chess_Endgames_for_Kids.pdf
A Guide to Chess Improvement by Dan Heisman (2010)
https://web.archive.org/web/20140708105628/http://www.chesscafe.com/text/review781.pdf
Seirawan stuff:
http://seagaard.dk/review/eng/bo_beginner/ev_winning_chess.asp?KATID=BO&ID=BO-Beginner
https://web.archive.org/web/20140708092617/http://www.chesscafe.com/text/review560.pdf
https://www.chess.com/article/view/book-review-winning-chess-endings
https://web.archive.org/web/20140627132508/http://www.chesscafe.com/text/hansen173.pdf
http://www.nystar.com/tamarkin/review1.htm