I didn't. The first course at university was Java.

Personally I recommend either Python or Java. For Web stuff Javascript could be a good first language, but it has some rather strange design choices. C# is also fine and especially for GUI stuff a good choice. Especially if you want to develop stuff for Microsoft Office, but overall it has probably the easiest to use GUI tools. It is probably the easiest to set up, just install Visual Studio and you're done.

Another advantage is that after the log4j incident some corporations who previously used Java switched to C#, so it's a good pick for working in the IT departments of many non IT related corporations. It also has good documentation. For starting out game development it's also a good choice, because the Unity Engine utilizes C#. It's well documented by Microsoft and the Documentation is written similar to a guide.

Java gives you more insight into the Code. While C# is the easiest to set up it also generates a lot of stuff in the background and overall you have less control. You can mess up your project by removing/moving/renaming files outside of Visual Studio.

Java on the other hand is showing you everything. That's why it's slightly better for getting a full grasp over your program.

But that should be of secondary concern for a beginner.

It's also easier to set up cross platform. While technically Visual Studio works on Linux too it can be a pain to set up.

Regarding IDEs you should pick up Eclipse or IntelliJ IDEA. Personally I recommend the Community Edition of the latter, but Eclipse is also fine.

A downside is that setting it up is not as trivial as installing an IDE, you need to install Java separately or set environment variables. You can also download it through IntelliJ IDEA though. Also you need to pick a distribution, but it doesn't really matter which one you pick (I'd recommend Temurin, but that's due to licensing, which is not something a private coder needs to care about).

This still isn't very hard, but I've seen people struggling with it.

In my opinion Java is slightly easier to follow than C#, but that might be because it was the first language I learned.

When it comes to Python it's a good language for beginners, because it's syntax is very simple. It also uses an interpreter, which means that no separate file for running it needs to be generated. This enables it to change stuff while running the code. The downside is that it's slower, but that's not something which matters for a learner.

But even at a later point it's fast enough for most things. The only time when it wasn't fast enough was when I had to process large amounts of training data through my own algorithms (the German Wikipedia).

The downside is that it hides a lot of things. So while it's much easier and faster to learn than most other languages you also learn less about programming, because the language does it for you.

That shouldn't be a huge issue, but it should be kept in mind.

For setting it up I'd recommend using a Conda environment. That's a whole different topic, but in practice you only need to install Anaconda and learn how to create environments, which is very easy to do and enables control over which version of Python to use, because each environment has its own list of packages (which includes Python).

You also can use Jupyter Lab, which enables the use of Jupyter notebooks, a special type of file for carrying your code. That's also where the strength of it being an interpreted language really shines, because you can separate your code into fragments and run them separately. It also supports markdown and text, which means you can get nicely formatted tutorials in the shape of Jupyter Notebooks and can write down notes without relying on comments only.

You should also install a linter and code completion for jupyter lab. A linter is a piece of software which tells you when your code doesn't follow conventions. In practice that means writing easier to read and better formatted code, if you follow what the linter tells you.

For web development there's no way around Javascript. Under javascript.info there's also a great tutorial.

I only started to learn it last year, so I'm far from an expert, but I don't think it's a bad language for beginners. However it has some weird design decisions.