This phrase emphasizes a complete lack of knowledge, as if not even the basics are understood. He doesn't know the first thing about cooking; he can't even boil water.
Pro Tip 2/3
Not Literal
The 'first thing' is not about sequence but highlights the depth of unfamiliarity. She said she didn't know the first thing about politics, not even who the president is.
Pro Tip 3/3
Figurative Speech
It's an idiomatic expression, meaning its meaning isn't derived from the individual words. 'Not knowing the first thing' about cars means you're clueless, not missing a specific fact.