Where does the stranger appear first?
The stranger first appears at the masked ball the Prince Prospero has, he is noticed at the stroke of Midnight, the Prince becomes so enraged at the sight of this figure that he issues an edict that the stranger must be caught and hung at dawn.
The Prince is so enraged that someone would wear such a ghastly mask that he insists that the stranger be unmasked, but the sight of this creepy stranger frightens everyone so much that no one wants to touch him. The Prince, himself, pursues him, determined to personally catch up with him as he travels through the seven rooms of the ball.
If you look at the character of the masked stranger in another way, you can say that it first showed up in the town where it killed so many which in turn led the Prince to flee from the city. It is also interpreted that the ball and the whole fleeing to the country is really only a feverish dream that the Prince has as he is in the grip of the red death, or the plague, and that confronting the masked stranger, or the red death, results in the death of the Prince.