I don't remember my first single, but I had an awful lot of them. If I had to guess, I would say it was possibly The Grand Illusion
Sadly I remember my first record, which was Shaun Cassidy... I was a big Hardy Boys fan back in the day, so that seemed like a cool choice. My second album, which I believe I bought mere days after the first was Bill Cosby's Himself, which was a much better choice.
If anyone cares, I bought my first CD player in the summer of 1988 and my first CDs were Journey Escape, and Joe Satriani Surfing with the Alien.