This problem can be caused by an improperly functioning clutch system, whether it be not fully bled or a bent clutch fork or what have you. If your clutch isn't fully disengaging then you'll have a hell of a time getting into first. Does the car go into first when it's not running?
Make sure the shifter is aligned correctly,
http://www.vfaq.com/mods/shifter3.html
Anecdotally, I had this no 1st gear problem happen to me once after I reinstalled my transmission. It ended up being that I didn't tighten the transmission bolt closest to the slave cylinder all the way, so when you pressed the pedal it moved the entire transmission slightly instead of fully disengaging the clutch. I drove on it anyway and it ended up breaking my 1-2 shift rail end in my transmission from all the force I had to use to get into first