I don't remember exactly which one was first. I was an early RuneScape uptaker, but before that I think there was Pokemon Red, which I believe was the first game I actually owned. And before that, I got interested in games by playing them at my piano teacher's house, I think. The only one I remember from that time was Diddy Kong Racing, but I think there were other ones. And even before that, I may have played a few much older games. I recall one called Stunt Island (installed on floppies) that I was shown and tried playing at home. The OP mentioned Carmen Sandiego and I definitely played that at some point, as well as some Medieval library-esque game made by that publisher of encyclopedias called DK, I think?