1.) Autocorrelation is the correlation of a time series against the lagged version of itself.
2). First autocorrelation is the correlation of the time series against the lag(1) version of itself.
Let's look at the example below
Period_Numbers = [1,2,3,4,5,6,7,8,9,10]
Time_Series = [10, 20, 30, 40, 50, 60, 70, 80, 90, 100]
First Autocorrelation is calculated by taking the correlation of periods 1 to 9 and periods 2 to 10. That is
Autocorrelation_lag1 = Correlation of [(10, 20, 30, 40, 50, 60, 70, 80, 90), (20, 30, 40, 50, 60, 70, 80, 90, 100)]
Here is a an explanation from Investopedia - http://www.investopedia.com/terms/a/autocorrelation.asp