People are puzzled they read the book.
A. the first time
B. at the first time
C. for the first time
D. at first
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(答案→)A. the first time
B. at the first time
C. for the first time
D. at first
解析：the first time 第一次，名词词组用作连词，可引导句子；
for the first time 第一次，使用时作时间状语，类似副词性，不可引导句子。
举个两个例句：
This is the first time that I have been to America
I saw the sea for the first time in my life .
本题需要选连词连接两个句子，所以选择A