SQL Server doesn't understand the concept of "first" since a table is an
unordered set of rows.  Do you have some other column that can be used to
break this tie?  e.g. is there a created_date column or something?  If so,
you could say:

SELECT
   customer_id,
   customer_name
FROM
   customers c
INNER JOIN
(
   SELECT customer_id,
       created_date = MIN(created_date) -- or MAX?
   FROM customers
       GROUP BY customer_id
) s
ON c.customer_id = s.customer_id
AND c.created_date = s.created_date;

I suppose this could still yield ties of you have multiple rows for the same
customer with the same created_date.  Hard to suggest anything further
without more details.

Mufasa,

In SQL Server 2005, it's not hard:

with T as (
select
 *,
 row_number() over (
   partition by your_unique_key
   order by their_unique_key
 ) as occurence
from theTable
)
 select <columns you want>
 from T
 where occurence = 1

This selects the first occurrence in their-key order of
each customer (as defined by your-key).

Steve Kass
Drew University
http://www.stevekass.com