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Just watched the 4-th episode of season 4. In the end we see the scene where

the baby is turned into one of the white walkers by a magic ritual.

That means that

The white walkers actually aren't immortal, they grow older over the time, and they perhaps even can die from old age.

But if that's how the process of reproduction is organized for the White Walkers, that brings the question:

Who was the first white walker ever and how did he come to such a state?

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Actually, we don't know yet if they grow old. There might be an army of White Crawlers somewhere – Shevliaskovic May 5 '14 at 8:31
We also don't know: 1. Whether the baby has actually become a white-walker, or is he just under their influence somehow (a-la The Night's King perhaps?); 2. Whether he's going to be immortal (which is not the same whether he'll age); 3. Whether he's even supposed to survive (where are all the other Craster babies?); 4. Whether this effect is permanent or temporary. Basically we don't know until we watch further episodes or until the next book. – einpoklum May 5 '14 at 10:37
@Shevliaskovic - Old White Walker: "You call that a proper ice sword do yer? Why in my time we made ice swords so cold, yer old uncle Jinko over there sliced his own zombie horse when he accidentally bumped into it. The old fool had to terrorize humanity on foot for a whole century." – System Down May 5 '14 at 20:22
up vote 13 down vote accepted

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 against them.

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.

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