I'm not sure how much you already know about lattices, etc. Also, I have not had sufficient amounts of caffeine today. So, this may or may not help:
A Brillouin Zone is a cell in a reciprocal lattice. What that means is that if you have a lattice - for example, a cubic lattice - then you can find the reciprocal lattice, and then use that to find the Brillouin Zone. The reciprocal lattice is (IIRC) the Fourier transform of the original lattice, meaning that it represents frequencies in the spacings of points, as opposed to an ordinary lattice, which gives distances between lattice points.
The First Brillouin Zone is the smallest possible cell in the reciprocal lattice. It's usually found by taking the shortest lines between a point in the reciprocal lattice and its neighbors, and drawing a perpendicular plane (or line, in 2D) at the midpoint of each line. The space enclosed by the planes/lines is the First Brillouin Zone.