What is the first book of Fiqh that a student of knowledge is supposed to study?

Shaykh Muḥammad Bāzmūl:

This question… It is not right to designate one particular book for everyone. All we can say is that whatever book it is, if you can find a Sunni Shaykh teaching it and dealing with the questions that arise from it, study it with him. There is no particular book about which we can say, this is the book for you, read it and focus on it.

Of course, if you wanted a book that comprises Fiqh and other subjects, you may read the books of the Sunnah, read the Sunan of Abu Dāwūd, the Sunan of at-Tirmiḍī, the Sunan of an-Nasā’ī, the Sunan of Ibn Mājah, or the books that are based on them, such as the books that comprise Prophetic traditions dealing with jurisprudence.

Examples are Bulugh ul-Marām, `Umdat ul-Aḥkām, al-Muntaqā min Ahādīth ul-Aḥkām by Majd Ibn Taymiyyah, and other books made up of Prophetic ﷺ traditions dealing with legal rulings, or the books that deal with the legal rulings in the Qur’ān. These books will, in shā Allāh, help you and serve as a foundation for you in this field.

My advice to you also, if you are in a country in which a particular school of jurisprudence is the most popular, is to look for a scholar that sticks to the proofs and gives due importance to the Sunnah. Learn one of the books of that school of jurisprudence with him so that you understand the Fiqh issues of the accepted school of jurisprudence in your country. Make it your habit and your preferred course of action to memorise every query along with its evidences and to make an effort to follow the evidence as much as you can. We ask Allāh success for ourselves and for you as well.