I think a quality answer to this question requires a little context setting. How you make a first sale will vary quite a bit depending on what type of business you are starting. My answer which follows applies to software/saas startups targeting business customers (b2b product companies). My answer is mostly relaying my personal experience co-founding KACE Networks which sold to over 10,000 customers and was acquired by Dell in 2010.
First things first. Hector Quintanilla's answer is right in that it's really important to make sure your product will sell BEFORE you build it. How do you do that? Here are a few things that we did:
Ok, now you've done your homework and you've built a product and you're ready to sell. What next? I recommend a few important approaches which take a ton of persistence and hard work. There are NO shortcuts that I know of:
I wouldn't waste any time on traditional marketing when you're working on your FIRST few customers, just sell... brute force and persistence pays off. After you have 3 to 5 or so customers signed up, fire up marketing and begin iterating with that.
There's a lot more to say about selling a first customer than I've articulated above. Even as I write this I can think of dozens of more insights, but those are some stream of consciousness thoughts to get you started from the front lines of actually doing it.