Usually it's physically obvious - depending on how exposed the wiring is (typically in the basement, if at all) it can be easier or more difficult to be sure, but it will almost always be the one closest to the breaker box. In some cases the wire routing won't be so straightforward, but usually it is.
I'm assuming you are capable of safely working with exposed wires, though I'd never suggest (and don't myself) doing anything more than check for voltage on them when exposed and live. Always turn off the breaker and check for voltage before actually manipulating wires.
So you pick the closest outlet on the circuit. You turn off the breaker and open the box. You disconnect one set of wires positioning them safely or temporarily taping them, and turn the circuit back on. if all other outlets are dead, you got the right outlet. If some other outlets are live, do the same thing at one of them. Ultimately you need to not merely find the outlet, but find which set of wires are the supply from the breaker (that will be connected to the "line" terminals on the GFCI) and which are the wires leading to the other outlets (that will be connected to the "load" terminals on the GFCI.)