It is a question of where, but also to better understand, you must know when it happened. Because earls structure was different from today's.
From wiki on Universe's chronology,
By NASA/WMAP Science Team - Original version: NASA; modified by Ryan Kaldari, Public Domain, Link
you will learn that first stars are thought to appear when the Universe is about 3% of its current age, i.e. 400 million years old. This is the time it took for first atoms to cool down sufficiently and gather together in the clouds in question.
To see where first star formation happened, we have the possibility to look back in time.
- we can see the star being born, and for this we need to use radio frequencies, because infrared was the only thing coming trough the surrounding gas clouds, from that time is so red shifted...
- if we are very lucky, we can see these stars exploding - since they are so big, they will quickly come to an end and explode - but because of surrounding gas clouds it is regarded as a rare event.
- there are simulation tentative like this one where we use currently know physic laws to calculate the evolution of matter since it first emitted light (CMB - the bluish-greenish thing on above image); the very small differences in this primordial light we are able to see allow the simulation to explain densities differences and the apparition of filaments, planes and clusters (nodes at the intersection of planes and filaments). These things can be artistic, as you can see here filaments and a Protogalaxy simulated:
from Sky & Telescope
Clusters where the denser places of the universe, and due to this highest matter density, is where first stars where created.
- Here is an images where it is thought a filament is actually seen, lightened by a catastrophic event it hosts:
The Lyman-alpha blob (blue fuzz) surrounding the quasar UM 287 (white dot in center) extends 1.5 million light-years long, far too big to be contained within the quasar's host galaxy or the host galaxy's halo. The blue fuzz is likely to be part of a cosmic web filament.
S. Cantalupo / UCSC
I invite you to get a better idea of what we can see of the distribution of stars from our planet here, where you can zoom in and out and get an understanding of scales.