There are 3 shows, 5:00, 6:45 and 7:15. I think that the packages go on sale in the summer, I think maybe August but I could be wrong about that. The more popular restaurants book up fast, like LeCellier, but generally you are able to get a time and date that you want.
If I remember correctly, the date of the first is the day after Thanksgiving. I didn't know by your question "When is the first one held?" whether you meant time of day or date of year.
It usually starts the Friday after Thanksgiving. Packages usually go on sale in August. Dates around the holidays can be hard to get, earlier in the month and during the week is easier. Details from last year here:
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