The first step toward salvation is to realize our need to be saved. God sent His Son, Jesus Christ, to save mankind from sin and the penalty of sin.
"And she will bring forth a Son, and you shall call His name JESUS, for He will save His people from their sins." Matthew 1:21
"Much more then, having now been justified by His blood, we shall be saved from wrath through Him." Romans 5:9
Where did this need to be saved come from? It came from Adam's sin. "Therefore, just as through one man sin entered the world, and death through sin, and thus death spread to all men, because all sinned--" Romans 5:12
When Adam sinned in the Garden of Eden, all mankind became subject to the penalty of sin. We, being descendants of Adam were born sinners. However, the Bible states that we have all sinned at some time since our birth. "for all have sinned and fall short of the glory of God" Romans 3:23
Being born sinners, we were born subject to death -- the penalty of sin. "For the wages of sin is death, but the gift of God is eternal life in Christ Jesus our Lord." Romans 6:23 This death is not just physical death that all suffer. Physical death is also a result of sin, but Jesus conquered it when He rose from the grave. The wages of sin is a spiritual death, also called the second death. (Revelation 20:14) This is the eternal loss of the soul, or more commonly known as "going to Hell". Being saved from the penalty of sin is to be saved from the second death -- Hell.
Once we realize that we were born sinners, have since sinned andwill suffer the penalty of sin unless saved by Jesus Christ, we have made our firt step toward salvation.