That's a pretty good question, but in order to answer it we have to clarify precisely what it is physics says about the first law of thermodynamics.
The first law of thermodynamics doesn't actually specify that matter can neither be created nor destroyed, but instead that the total amount of energy in a closed system cannot be created nor destroyed (though it can be changed from one form to another). It was after nuclear physics told us that mass and energy are essentially equivalent - this is what Einstein meant when he wrote E= mc^2 - that we realized the 1st law of thermodynamics also applied to mass. Mass became another form of energy that had to be included in a thorough thermodynamic treatment of a system. (For a very important note on the difference between matter and mass, see here: http://plato.stanford.edu/entries/equivME/#2.1).
Refrigerators are examples of closed thermodynamical system
The first thing we have to do is determine what a "closed system" is. When we look at a physical situation and draw an imaginary circle around it, we're defining a system. A refrigerator, for example, can be a thermodynamical system. But once we've specified that the system is closed, it means that everything inside the system at that moment - the total amount of energy, be it potential energy (mass can be thought of as a kind of potential energy) or kinetic energy or both - must stay at that same, constant level. If the amount goes up or down, either the system isn't closed, or we've neglected to account for energy (for instance, heat) coming into the system or leaving the system. If we draw our imaginary circle around the universe, we can call the universe a closed system, but it means the total amount of energy in the universe has to remain the same - from its beginning until now.
You may be hesitant to believe that the total energy in the universe is constant because there appears to be so much of it, or because science seems to indicate that the universe is expanding. There are stars, planets, galaxies, globular clusters - everywhere, matter and energy seem to exist, and it's constantly rushing off in all directions. But for starters, the expansion of the universe doesn't have to take more energy - as the universe expands, the distances between stars or galaxies increases, and thus the gravitational energy between them decreases to compensate. And more importantly, thermodynamics doesn't state what value the total energy should have. It could be a huge, but constant, number (this is what's known as an "open" universe, where the amount of matter/energy in the universe exceeds a certain "cut-off" density: see http://hyperphysics.phy-astr.gsu.edu/hbase/astro/denpar.html). It could be, as most physicists now believe, zero (this is called a "flat" universe, where the matter density in the universe is equal to the cut-off density). It could be negative, even (a "closed" universe, where the amount of matter is less than the cut-off density). It could be anything, but whatever value it is now, it was at the very beginning! According to physics, all of the matter and energy in the universe now existed in some form at the Big Bang.
"The expansion of the universe doesn't have to take more energy - as the universe expands, the distances between stars or galaxies increases, and thus the gravitational energy between them decreases to compensate"
Image courtesy of NASA
Now, there's a slight hitch in what we've said so far, and that's quantum mechanics. Quantum mechanics states that, on a very, very tiny scale and for very, very, very short lengths of time, energy can be spontaneously be created and destroyed. Kind of like boiling water, where bubbles spontaneously appear and burst, energy - in the form of particles - can spontaneously appear from the void of spacetime, exist for a tremendously short amount of time, and disappear again. On normal time and length scales, this all averages out to what thermodynamics says should be true (that no energy is created or destroyed within the closed system of the universe). But this does mean that, if there was such a tiny fluctuation at the beginning of time, it could have made the total energy of the universe at creation slightly more than zero, and thus the universe will always contain that total amount of energy. Just such a fluctuation may have been what caused the universe to begin in the first place. The scientific field of cosmology, as well as the growing field of string theory, are working to answer this ultimate (and rather philosophical) question - how did the universe begin?
But here's the best part - we don't know yet exactly what happened at the moment the universe began. We're still working on the physics of it. Maybe you'll be the one to finally figure it out!
Kelly Chipps (AKA nuclear.kelly)
Department of Physics
Colorado School of Mines
Tyler from Eden, TX