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What is considered to be the first true detective story and why? 

I know that it was "The Murders in the Rue Morgue" but I dont know why.

Like all questions of interpretation, the answer depends on how you're defining the terms that make up the question ("first" and "detective"). After all, Oedipus is seeking the answer to a crime, yes?

That aside, you are correct that Poe's "Murders in the Rue Morgue" is often considered the first real detective story. The reasons are first that an actual detective is present. Second, that detective (Dupin) influenced other writers in the field; you can see Doyle working against Poe's model in the Holmes stories. Third, a framework of law and order, and of justice that can be pursued within a  human frame, is established. A crime exists for Dupin to solve, rather than just a curse or a tragedy. Fourth, Dupin assumes that crimes can be solved, and brings methodology to the process, rather than just flailing about.

Yes, Poe is considered the father of the detective story.  This story was a model for many detective writers that followed him!  His impact on the detective story is still felt today!