The name of Romeo's first love is revealed in the second scene. When we first meet Romeo and Benvolio in the first scene, and Benvolio begs Romeo to tell him why he is brokenhearted, Romeo at first refuses to tell Benvolio whom he is in love with. At first he only wails about her beauty and how she is rejecting him, as we in his line, "[s]he's fair I love," followed by:
She hath Dian's wit,
And, in strong proof of chastity well arm'd,
From Love's weak childish bow she lives ubharm'd. (I.i.210-13)
We see in the second scene that Benvolio, being his cousin, is already aware of the name of whom Romeo is in love with. When the servant of Capulet informs them about the ball because he has a list of names he cannot read, it is Benvolio who declares that Rosaline will be there and if Romeo crashes the ball then he'll get a chance to compare her to other women, thereby giving Romeo a chance to forget about her. Hence, we see that Benvolio has known all along that Romeo is in love with Rosaline, and that Rosaline is Romeo's first love in the play.