There's a First Time for Everything

We use ordinal numbers to show where something lies within a sequence. Since these numbers specify a place within the sequence, we use the before them. 

The fourth floor is a specific floor. 

The second street on the left is a specific street. 

The twentieth century is a specific century.

We tend to use the before ordinal numbers in dates too:

Her birthday is on the tenth of May.

Except if the ordinal number comes after the month:

Her birthday is on May tenth.

But we use the before the ordinal number after names:

Henry the eighth, Louis the fourteenth

We can also use ordinal numbers as adverbs, to show order.

He finished second./ He finished in second place.

I found it first.

Or to show the sequence in a series of actions:

First, peel the onions. Second, chop the onions into thin slices.

We can use a possessive adjective before ordinal numbers:
I'll never forget our first kiss.

We can also use at + first to mean "at the beginning":

I didn't recognize you at first.

It was love at first sight!

Which leads us to the moral of the day:

If at first you don't succeed, try, try again!