Hmm....typically it does that with second gear, not first.
But like Sean said check the simple things first. Put the bike on the sidestand, remove the clutch cover, the pressure plate, all the discs, and then the actual clutch boss. Bottom left corner there's a little drum thing with a "fork" that ratchets it around to change gears. If one of the pins is loose or working it's way out(maybe the one it grabs for first), it might not be pulling it completely into gear and jumping out.
Yamaha updated the part around 2000 IIRC, to a new segment that has the pins captive (the old part relies on flimsy metal "fingers" to hold the pins in). The pins on my '97 fell out and I lost fourth and fifth gears.
Easy fix. Just make sure you have the proper torx bit to remove the segment bolt...you don't want to strip it out. It's in there pretty tight.