By birth to a non-human mother of the same species: homo sapiens. But human beings are spiritual life forms come to live in homo sapiens, so at some point the first human was gifted with the spirit by, as auxarcs so elegantly put above, God's "living breath".
Primates diverged from other mammals about 85 million years ago. Hominids (great apes) evolved over millions of years into the species we see in the world today, including humanity (Homo sapiens). The earliest documented members of the genus Homo are Homo habilis which evolved around 2.3 million years ago. We aren't sure which species was humanity's direct predecessor (there are lots of similar species in the genus Homo to choose from). Anatomically modern humans evolved from archaic Homo sapiens about 200,000 years ago. How was the first human born? It's impossible to determine the exact individual who could be called 'the first human'. I'd say there wasn't really 'a first human'; there were a number of individuals who were on the border of one species and another, until their successful offspring became distinct enough as a collective to require another name. If you insist that there must have been a 'first human', then the simple answer is that he or she was conceived and born in much the same way as you.
It depends how you define human. The most probable answer is that some ape evolved and mated, the offspring mated again, on and on. So at some point, some branch of the genus 'homo' stopped being homo erectus and started being homo sapiens sapiens. there wasn't 1 'first' human, really.