I'm also trying to find a way to link directly to the first post of a category but so far the best method I've found is to use get_permalink.
http://codex.wordpress.org/Template_Tags/get_permalink
Unfortunately this means you have to link directly to that first post within the template. If you want to see it in action, you can take a look at a comic theme that I'm working on here:
http://www.idle-thoughts.com/demo
I'm also using Kaf's Post templates by category which you can access from his website http://szub.net/ which allows you to generate a single page theme for a specific category.
This is how the comic navigation looks like:
<p> <div class="comicnav">
<table border="0" width="100%"><tr><td align="left">
<div class="alignleft">
<!-- THIS LINKS TO THE VERY FIRST POST FROM THE CATEGORY -->
< a href=" < ? php echo get_permalink(9); ? > ">« First< / a>
<!-- THIS IS THE PREVIOUS LINK -->
<?php previous_post_link($format='« %link', $link='%title', $in_same_cat = true); ?> </p>
<p> </div></td>
<td align="right"><div class="alignright">
<!-- THIS IS THE NEXT LINK -->
<?php next_post_link($format='%link »', $link='%title', $in_same_cat = true); ?>
<!-- THIS LINKS TO THE MAIN PAGE -->
< a href = " < ? php echo get_settings( 'home' ); ? > ">Latest »</ a>
I'm also currently using wordpress 2.1.