Hi! I will correct your sentences individually. :) 

Y = you wrote it

C = corrected version

Y: I'd like to retire when I am 65 years. 

C: I'd like to retire when I am 65 years old. 

Y: I'll be really annoyed if somebody smokes near me. 

C: already correct :) Good job! 

Y: I don't want to have children before I married. 

C: I don't want to have children before I am married. 

Y: I'll have a big party if I open my personal exibition. 

C: I'll have a big party if I open my personal exhibition. 

Y: I'll have something to eat as soon as I cook. 

C: already correct - good job! :) 

first conditional
I'd like to retire when I am 65 years. - that's not really First Conditional, it just works the same way.

Info about time clauses you can find here: http://learnenglish.britishcouncil.org/en/english-grammar/verbs/verbs-time-clauses-and-if-clauses
I'll be really annoyed if somebody smokes near me. I think First conditional will be more natural here because that's always true. You always get annoyed in that case, don't you? So I would write: I get really annoyed when someone smokes near me.
I don't want to have children before I married. you wanted to write get married?