'My first time' versus 'The first time'.

[Agnes]

I learnt that it is grammatically wrong to say 'MY first time' and that it should be 'THE first time' instead. Unfortunately I see and hear a lot of people use 'MY first time doing this...' and I cringe and correct them. However, I can not recall why it's grammatically wrong. Can someone in here please refresh my memory? Thanks.

 

[SoothingDave]

It's not. And if your native language were English, you would know this. Please correct your profile information.

 

[5jj]

And if your native language were English, you would know this.

Many people whose native language is English have problems with the finer points of English grammar.

 

[teechar]

I learnt that it is grammatically wrong to say 'MY first time'

That phrase is not wrong or ungrammatical.
See, for example:

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What made you think it's wrong?