Whom does Athena advise Telemachus to visit first?
Some context is in order. The epic The Odyssey starts in medias res. The Trojan war has ended and Odysseus is trapped on an island as Calypso's love interest. During this time, Odysseus's estate is being taken advantage of by suitors, who are also seeking to woo his wife Penelope. Many are also saying that Odysseus is dead; all the Greeks are back except for Odysseus.
Within this context, Telemachus, the son of Odysseus, almost gives up hope, until Athena (with the permission of Zeus) comes down in the disguise of his father's friend, Mentes, to offer counsel. He tells Telemachus to travel to Pylos and Sparta.
At Pylos, Telemachus meets Nestor. This makes sense, because Nestor fought side by side with Odysseus. Moreover, Nestor was known for his wisdom. Unfortunately, Nestor has no information about Odysseus, but he wishes Telemachus good fortune.
At Sparta, Telemachus meets Menelaus and Helen. They recount many tales of the war and this is where we also hear about the artifice of the "Trojan Horse." They also say that his father is still alive. He has been captured by Calypso on an island. This bit of information gives Telemachus hope.