What is the first step to occur during the process of replication?
Your answer here depends on what level of explanation your instructor is looking for...
There are proteins which will bind to the origin of replication in a step called initiation. This occurs in regions of the DNA molecule which have a large number of A and T nucleotides. This is followed by an enzyme called helicase unwinding and unzipping the DNA molecule.
Adenine and thymine nucleotides are joined by two hydrogen bonds as opposed to the three hydrogen bonds that hold guanine and cytosine nucleotides together. Regions of DNA with higher amounts of A and T are therefor easier to unzip than regions with a greater G-C content would be.
Your teacher might just be looking for you to understand that the DNA molecule must be unzipped before it can be copied. Here is a cartoon-like look at how this happens.
Hope this helps!