In this example, the speaker uses "first". Here's the difference between "first" and "at first":

• "First" is used to explain the order of doing things.

  First chop the onions, green peppers, and carrots. Put them all in a bowl and the oil, garlic, soy sauce, and a pinch of salt and pepper.

• "At first" is most often used to express the difference between how something used to be and how it is now:

  At first I was nervous, but as time went on I got more and more comfortable, to the point that now I actually enjoy it.