If we want to set up a SharePoint farm with 2 WFEs, 1 Application and 1 Database server then what we can call to first installed SharePoint server ?
As per my understanding first server will be WFE.
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all roles can be switched after the installation. And you're right, the first server you install SharePoint on will have the Central Administration and allows you to configure your SharePoint farm. Nevertheless the Central Administration can be added to another server later on as well. An application server is typical a server which you dedicate to run service applications like Search or User Profile Service on it while a WFE servers user request. Hope this helps.
The first server will be a Web Front End (WFE) in part because the farm needs a server to run the Central Administration web when you first build it. What makes a WFE a WFE is that it runs the "Microsoft SharePoint Foundation Web Application" service. This is what vendors look for when they license various products per WFE servers. If you disable that service on a WFE, it technically is considered an "Application" server. But in reality, any server involved in serving up SharePoint services (search, metadata, excel services, etc.) is an application server.