In French, you say "un tel examen" (a such exam), but in English, the order is always the opposite, "such an exam." So, the indefinite article (a or an) cannot go before such in the sentence. Also, even though everyone would understand you, we usually use the verb "take" when you're talking about a test, instead of "do". So you should say: I have never taken such a difficult test. When I started learning French it was very hard for me to resist saying "prendre un examen" instead of "passer un examen." Those idiomatic differences can be tricky.

Yes the first one is wrong, the second is correct