I don't know what the first story I ever wrote was. I had a lot of noteboks that I scribbled small notes in here as a kid. There was one notebook that I had all sorts of "important" stuff in, and I remember keeping it with me almost all the time. Nothing in it could be classified as a story though. Don't get me wrong, I came up with stories all the time, but most of them stayed in my own head. I was a bit older before I actually started writing stories down.
I still have most of those notebooks. It's interesting to look in them now and see some of the things I wrote. Sometimes I just have to wonder what was going through my head when I wrote something. You can definitely tell that I've always had an active imagination.
Even though nothing in these notebooks can really be classified as stories, these notebooks really helped me get to the point where I actually wrote. In a way, a lot of the stuff is exactly like things I write down when I'm coming up with a story now. I plan on keeping all of these notebooks (and the ones I use now). They should be fun to look back on years from now.