Your car should start in second gear under normal conditions. When it's cold, it'll hold second gear for a while so the engine warms up more quickly. That's perfectly normal.
If your car were in first gear, you could probably drive up a wall and going as fast as you can would mean something ridiculous like 20mph. First gear is very tall and very obvious. When your car is at a stop, put the shifter in the '2' position. You should feel something engage in the transmission. When you move, you'll be in first gear.