First RPG, eh?
Well, that would have to be Final Fantasy VII. Despite having a Commodore 64, an Amiga 1200 and (possibly) a modern PC before I even touched my first console, I had never touched an RPG from any of them. When I finally got a PlayStation, one of the first games I received for it was FFVII, and despite being confused as to where the other FFs were (this being my first introduction to the series), I enjoyed it a lot.
Even if I didn't originally get the hang of how an RPG works.