This is a good question. The first paragraph in any essay is the introduction. As such, the first paragraph should have a few important elements. 

First, it should introduce the thesis or the main point of your paper. Keep in mind that a thesis is debatable and what you are doing for the rest of the essay is proving your thesis. 

Second, your introduction should have an outline a main points that you will employ to prove your thesis. This is like a road map of your essay, so that you reader will know where you are going. 

Finally, you should also try to make your introduction interesting, so that your reader will want to read on.