From A Wiki of Ice and Fire
Arrival in Westeros
Around 12,000 years before Aegon's Landing, during the Dawn Age, the First Men came to Westeros from the eastern continent by crossing the land bridge called the Arm of Dorne. The First Men crossed the Arm under the leadership of the so-called "First King". The First Men supposedly found the Seastone Chair upon the shores of Old Wyk when they first came to the Iron Islands.  It was the First Men who named those who sing the song of the earth "children".
War with the Children of the Forest
The men came with bronze swords and great leathern shields, riding horses. As the men settled in the new land, carving out holdfasts and farms, they chopped down the carved weirwoods that were sacred to the children of the forest's gods and burned them. This provoked a war between the children and the First Men.  Though the children had powerful magic, and, according to the old songs, used dark magic to shatter the Arm of Dorne into an island chain, the First Men were larger, stronger, and more technologically advanced.
Moat Cailin was raised roughly 10,000 years ago, by the the First Men. It appears as if at some point the children were able to take possession of at least Moat Cailin's Children's Tower. According to myth, the children attempted to use Moat Cailin to hold back the flood of invading First Men by calling upon their nameless gods from the Children's Tower to send down the "hammer of the waters" to break the lands of Westeros in two by shattering the Neck and completely separating the North from the South, in the same manner they shattered the Arm of Dorne centuries earlier. However, the children failed in the attempt and only succeeded in flooding the Neck, creating bogs and swamps.
However, the cataclysm proved the strength of their power and may have proved instrumental in bringing the First Men to agree to the peace terms that ended hostilities between the two races.
The war went in the First Men's favour until the two sides reached a peace agreement, called the Pact, on the Isle of Faces. The First Men gave dominion over the forests to the children and promised not to cut down any more weirwood trees. In return, they received claim to the rest of the Westeros. 
Four Thousand Years of Friendship
The Pact began 4,000 years of friendship and peace between the two peoples. The years that followed the forging of the Pact is known as the Age of Heroes. The First Men set aside their religion to worship the children's nature gods. Like the children they would carve faces into the weirwoods. The children of the forest taught them to use ravens to communicate over long distances, but in those days the birds would speak the words, and the greenseers of the children could change their skins and speak through the birds. 
When the Others began to invade from the far north of Westeros, the First Men and the children joined forces in the War for the Dawn. A legendary hero, called the last hero, is said to have led the coalition against the Others. The Others were driven back, and the Night's Watch was created to keep them at bay. The First Men are also the ones responsible for building the Wall, which still stands to this day.
Invasion of the Andals
Around 6,000 years before Aegon's Landing, the Andals began their invasion of Westeros. For several hundred years the First Men and the Andals fought for control of the continent. Eventually, the Andals conquered the southern half of the continent, while the Kings of Winter stopped all Andal incursions through the Neck at Moat Cailin.
Armour and Weaponry
The First Men obeyed the laws of hospitality. Hosts were expected to serve guests bread and salt upon arrival, and guests received protection once they had eaten. Disputes were often handled by paying a blood price, even for crimes such as murder. If a man was to be executed for his crimes, the man delivering the sentence was expected to wield the killing blade himself, a tradition carried on by House Stark. 
The First Men interred their dead in barrows. There are barrows everywhere in the North, such as Great Barrow. When Eddard Stark and Robert Baratheon go riding they view wide plains of flatness which are here and there relieved by long, low hummocks - the barrows of the First Men. 
After the Pact the First Men set aside their previous religion to worship the children's nature gods. Like the children they would carve faces into the weirwood trees. The Lady of the Waves was a goddess of old worshipped by First Men who lived on the Three Sisters islands, as was the god the Lord of the Skies. Sacred storms were the result of the Lady of the Waves mating with the Lord of the Skies.  Worship of the Lady of the Waves and the Lord of the Skies ended with the arrival of the Andals and the Faith of the Seven.
While much of their culture was lost over the millennia, the people of the North retained the spirit of the First Men and many carry the blood of the First Men in their veins, including those of House Stark. Even below the Neck there are peoples that still carry the much of the blood of the First Men, such as those at Crackclaw Point.
Places associated with the First Men
- The Wall
- Moat Cailin - (specifically the Children's Tower) - raised roughly 10,000 years ago, by the the First Men.
- Great Barrow
- The Fist of the First Men
- Seal Rock
- The old ruins of ancient strongholds of the First Men in Sea Dragon Point
- The Gods Eye
References and Notes
- ↑ A Clash of Kings, Chapter 24, Theon.
- ↑ 2.0 2.1 2.2 A Game of Thrones, Chapter 66, Bran.
- ↑ A Clash of Kings, Chapter 28, Bran, p 440.
- ↑ A Dance with Dragons, Chapter 34, Bran.
- ↑ A Game of Thrones, Chapter 70, Jon.
- ↑ A Feast for Crows, Chapter 5, Samwell.
- ↑ 7.0 7.1 A Game of Thrones, Chapter 66, Bran, p 738.
- ↑ A Game of Thrones, Chapter 1, Bran.
- ↑ A Game of Thrones, Chapter 12, Eddard.
- ↑ 10.0 10.1 A Dance with Dragons, Chapter 9, Davos.
- ↑ A Storm of Swords, Chapter 26, Jon, p 299.