What was used to write and compile the first program written?

Well they might have used an assembler to create a tiny compiler (For example : A subset of C compiler) and they implemented a full C compiler using the tiny compiler. Then that can be used to compile the program written in C. Read More - http://en.wikipedia.org/wiki/Bootstrapping_(compilers) Also we can say Assembler is also an another program, so initially they should have wrote a simpler assembler with the opcodes or by hand. Those assembler could then b used to create more advanced assemblers and those could then be used to create compilers for languages.

Before invention of languages(even assembly languages) computers were fed instructions using puched cards which looked like this:

You do can write programs in assembly code you know ...  Remember the popular dos game prince of persia ? It was written in assembly.. back then when most of the modern popular languages didnt exist or were famous people used to code in assembly languages. Modern os development relies on something called cross platform compilation where u develop your product in a platform targetting someother platform. Again some part of the first to be evrr developed was written in assembly. Using this part rest of the development was carried out in c or some higher language

Only Uday Kale's answer comes close to the actual answer. However, punch cards came later. To write the basic boostrap code to start a computer, assembly code was converted to binary by hand and fed into the memory one by one.  There used to be a panel in which you could type binary code (literally 1s and 0s) and then press another button to save it to memory. There was no compilation/linking to be done. This was then saved in a predefined location and served as the code which the computer would execute when it starts. From there onwards, using the principle of redirection, this could would redirect execution to another memory location where you could place more complex code and so on.