"At first" is used to talk about time and usually a contrast between two points in time. "At first I was nervous, but the interviewer was really nice so I relaxed." "A first we didn't understand the teacher; after a few minutes, however, she slowed down and answered our questions." "First" is used for a list of things; we expect more to come (First, second, next, then, etc.) So your example needs "first". "First I'd like to check your level of English. Then I'll check your level of German. And then I'll ask you to do a sample teaching lesson."