Is the first name a required field just in your VF page or is there a validation rule requiring the field?
If you're using a validation rule & translation workbench (to translate the error message) you could use which will display the Validation error message. Of course this means the user has to attempt to save the record to trigger the validation message itself.
You can also add your own custom error messages in your controller/extension using .addmessages ... example: ApexPages.addMessage(new ApexPages.Message(ApexPages.Severity.error,Label.Your_Error_Message_Label));
There's a post on the dev forums recommending using a custom label in your apexpages.messages for translation: http://boards.developerforce.com/t5/Visualforce-Development/Displaying-multilingual-error-message-in-visualforce/m-p/452239#M51505