As near as I remember the First() function is used as a sort of "get out of jail free card" for group by situations. Instead of grouping by the value in the column, or summing up the column, or getting a max or min of the column, Access grabs the first value it sees. Because of this, you can end up with different results in different situations, which is generally bad for business. Here is a link to some of the help I found..
In SQL Server, I would avoid using the concept of "first" as it does not really have any meaning, unless you impose a meaning like "chronologically first entered", in which case you would (hopefully) have an entered date to work with. Hope this helps.