It is not yet mentioned who was the first white walker or how did he became like that. We only know that they first appeared during the Long Night (1)
A Game of Thrones, Chapter 1, Bran:
According to legend, the Others first appeared approximately 8,000
years before the War of Conquest, during a winter that lasted a
generation and a period of darkness known as the Long Night.
Eventually they were defeated, supposedly by the Night's Watch in the
Battle for the Dawn, and the Wall may have been raised as a defense
A Game of Thrones, Chapter 24, Bran:
According to legends, in the midst of this darkness a race of apparent
demons, called the Others, emerged from the uttermost north, the polar
regions of the Lands of Always Winter. They wielded razor-thin swords
of ice and raised wights to fight the living. The children of the
forest and their allies, the First Men, fought valiantly against them,
but were driven southwards by their advance.
After the walkers lost the battle, Bran the Builder raised the Wall to keep the walkers away.
Also, keep in mind that what happened in the end of S04E04, has not happened to books, so we can't know for sure what that means.
(1): The Long Night is the name given to a period in history where a terrible darkness fell across Westeros and the east.