When you do something directly, in person, you do it at first hand. If you've ever had a puppy, you've seen at first hand how much work it takes to train them!
You'll be able to read about the solar eclipse the next day, and even see photographs of it, but if you want to experience it at first hand, you'll need a safe solar viewer or pinhole projector. Anything that happens at first hand is direct and immediate, based on your own personal experience. The origin of this phrase is the idea that "the first hand" is the one that made or produced something.