Hi Rob,
as it happens, there's no easy way to set the "first field" at the moment. The "first field" is given the focus by some JavaScript which works reasonably hard to figure out which field is first. (For example, it skips over read-only, or hidden fields etc. also fields in html do not necessarily declare the fields in vertical order, so the first field "on the page" is not necessarily the first field "in the html".)
what you want is one of two things, although I suspect ultimately we want both to be in play;
a) a SKIP attribute, similar to the windows Skip attribute - although unlike the windows one this would really only be "skip on open", not "skip on tab".
b) the ability to set a field explicitly as the "first field".
cheers
Bruce