Final answer:
The first step in a key exchange is when the web browser sends a "ClientHello" message to the server, initiating the secure communication session.
Step-by-step explanation:
The first step in a key exchange during the initiation of a secure communication session, such as SSL/TLS, is when the web browser sends a message ("ClientHello") to the server. This message includes information about the SSL/TLS version the browser supports, the cipher suites it supports, and a random byte string that is used in later steps to generate encryption keys. Only after this initial step does the server respond with its own "ServerHello" message, select the cipher suite, and continue with its part in the cryptography process, which includes sending its certificate for the browser to verify.