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.