How would you say, I saw that movie for the first time? Would you use 初回 or a different word like 第一回? What are the differences between using these words to describe the "first time" doing something if there are any?
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Provide us with an initial attempt at translation so that we can revise and recommend as is necessary. – Jack Bosma Jul 29 '18 at 20:49
An adverb 初めて means "for the first time", and you should be using this in most situations. See this page for examples.
初回 is a relatively uncommon kango noun (see Sino-Japanese vocabulary and wago-and-kango). It's a stiff word used mainly in serious business articles or in technical/academic contexts. If you don't know how to use 初めて (JLPT N5 word), you may revisit 初回 after you have reached the N3 level. 第n回 is a way to count events that are held regularly (e.g. 第25回XYZコンテスト = "The 25th XYZ Contest").
I saw that movie for the first time. 私はあの映画を初めてみた。 for the first time = 初めて
Would you use 初回 or a different word like 第一回? No. 初回 and 第一回 means “the first time” ,Noun.