I've already answered before, it was Mario Brothers on NES but I've just saw the thread again and I figured this time I'll answer the first PC game I remember playing.
I would guess around 1993 or 1994 we went to my uncle's house for dinner and he had a brand new PC with DOS and some shareware games. The 2 I remember playing that day were Prince of Persia and Wolfenstein 3D! These are the first ones I remember playing, and a year or two later when my family got our own PC I of course promptly brought disks over to his house to copy those shareware games for myself! My uncle was the guy who got me into PC gaming, and was a source for getting a lot of my earliest PC games. One I remember from another, later visit, was Hugo's house of horrors. My cousin knew how to beat it so she showed me how to beat the entire game, and then copied the disk for me. I later got Hugo 2 and 3 , and figured out how to beat the 3rd game but I've still to this day never beaten Hugo episode 2.