It means that however long your journey or how big and impossible the change you want to make it starts with just one step, or action. If you have a long term goal, you cannot achieve it without taking steps or measures to achieve them. For example, I want to become a doctor. Well 10 years of school starts with English 101, and math, and science, etc..
You have to start something before you can finish it.
You have to write a word, then a sentence, then a paragraph, then a page, then 3 more pages and you are done. Asking what it means was the first step it could mean that every step you take that step begins a new journey! or if you want to take a thousand miles all you have to do is take a step in a new direction! I don’t know though so you might not want to use that on your paper!
No matter how big the task seems, no matter how insurmountable it seems, make a start and continue from there.
Most things in life are accomplished in small stages, not in huge giant steps. Any task, broken down into small pieces, seems much easier.
It means if you never get started with anything. you never get anything done. No matter how big the task or how challenging the goal, you get there by just beginning. Without the first step, the journey will never happen.
Somebody who dreams big but never acts to make their dreams real will never attain them. But even if the dream seems unattainable, by taking that first small step, you move towards making that dream come true. In fact, the whole journey is made up of small steps.