From A Wiki of Ice and Fire
The First King was the sovereign of the First Men when they first arrived in Westeros around 12,000 years before Aegon's Landing, according to the people of the North. It was under his leadership that the First Men travelled to Westeros from Essos. The First King led his people across the land bridge called the Arm of Dorne; some legends from the Reach instead claim that Garth Greenhand was the High King of the First Men who led his people to Westeros.
The First King was the first of the line of kings of the First Men to rule in the land of Westeros. House Dustin claims decent from the First King and his successors, the Barrow Kings. According to folklore the Great Barrow in Barrowton contains the grave of the First King. Passages of the Dead by Kennet mentions a curse placed on the Great Barrow which prevents no living man from rivaling the First King.