The term "Hugeunots" is generally used to refer to Protestants in France during the 16th and 17th centuries. We do not know what individual French person first became Protestant so we cannot exactly say who began the Huguenot faith.
However, it is generally correct to say the the beliefs of the Huguenots came fairly directly from John Calvin, the Swiss reformer who broke from the Catholic Church in the 1530s. One definition of Huguenots (see link below) is that they were followers of Calvin. Another is that they were members of the Reformed Church, a church that was connected to Calvin.
So if any one person could be said to have started the Huguenot faith, it would be John Calvin.
The term "Huguenot" originated from an old French word designating followers of Bezanzon Hughes, a Swiss political leader. The Huguenot movement gained popularity very quickly in France, primarily among Nobles who resisted the power of the French King. Although they were primarily Calvinist, their motivations appear to have been political rather than religious. The French Wars of Religion were fought between supporters of the Protestant and Catholic faiths, but was primarily a struggle for political power, and ultimately for the French Throne itself. Henry of Navarre, who later became Henry IV was himself a Huguenot from time to time; but converted back and forth several times. Ultimately, he became a Catholic, presumably remarking "Paris is worth a Mass." He did issue the Edict of Nantes which allowed Protestants to worship freely in certain areas in France.