Hi Welcome to DUC.
"Pro Tools First". Ah well I suspect that's going to hurt you. IIRC Pro Tools First originally did not support any control surfaces, now Avid claims support for HUI only (
https://www.avid.com/pro-tools/comparison).
The 003 does not talk HUI to Pro Tools, it talks a proprietary protocol, so not surprising it does not work with Pro Tools First.
The 003 does not output HUI or MCP control protocols to easily control other DAWs. It does support a MIDI mode where you can manually set up controls. See
http://akmedia.digidesign.com/suppor...uide_34454.pdf Messing with that would be about as much fun as getting your teeth pulled.
If you absolutely have to get a control surface for Pro Tools First you need to look for something that supports HUI (like a current Mackie MCU Pro -- but run in HUI mode, or maybe you could get an Avid Artist control working in HUI mode). If you want to stay in the pro Tools ecosystem..... then this is barse ackwards... Pro Tools First is so badly crippled that I would focus on getting off that onto Pro Tools (standard) and the ability to use an Avid control surface. You should look at the difference in control capability, especially with plugins... but you need to be committed to Pro Tools.
If you just want to control Ableton Live or another DAW then sure look at an MCU Pro or other surface, potentially operating in HUI or better MCP modes (Ableton Live supports MCP).
If you are new to DAWs/recording I'd suggest avoiding control surface all together for now.