What should you do first when some one falls overboard?

Call for help; if there is a life ring and rope available, toss it past them (so that the rope falls near them).

Remember the 4 basic rules of lifesaving; "Reach, Throw, Row, Go"... in other Words, if they're close enough that you can reach them, or use a pole or other object, do that first. Second, throw a life ring, rope, or line. Third, go after them in a small boat, Go (as in jumping in) should always be the last resort, because then there are two of you in the water, and one of them is already panicking.