(EDIT: The game also cheats for you on the first move, it is never a mine... presumably it moves the mine elsewhere in that case - on Windows anyway).
Uh...I've hit a mine on the first move. Just throwing that one out there.
On the version that ships with Windows? I never have... Are you sure it wasn't a minesweeper clone?
EDIT: And a quick test with a 10x10 board and the maximum number of mines (looks like 81, I tried 99 but it set it to 81) seems to confirm that the first click is always safe (played about 5 games).