It's been the custom the last century or so, in the West, for children aged about 7 to have their first Confession, and the first Communion shortly thereafter. Confirmation would then occur a few years after that.
There is no divine rule to the order of these Sacraments, however. As someone else already mentioned, it is the practice in the East for infants to receive Baptism, Confirmation, and Communion all at once. Additionally, in the past, in the West, children often received Confirmation before first Communion.
The important thing is that if first Communion (and Confirmation for that matter) is given to someone who is above the age of reason, they should go to Confession first so that they are not in mortal sin when receiving.