A fair amount of first questions are of very low quality. Even so, I think that it is not correct, when a user gets one such first post from the First Questions review queue, to simply downvote it or to vote to close it. The person who posted it should get some comment explaining what is wrong (or, at least, a part of what is wrong) with that post. So, unless the act of voting to close the question will actually close it right away (in which case whoever posted the question will get a message) or if the question seems to have been posted by a troll, I think that one of our etiquette rules should be to leave some critique to the new user (assuming that the question is of low quality). Or to upvote some comment containing such a remark, if there is one.
Originally intended to be a comment, but I find that it is more of an answer than a comment.
I would suggest modifying the website to force newcomers to read the "Asking a good question" (and possibly making it a bit more detailed than it is now) and a small quiz to verify that they have read the rules. This method will reduce the number of new questions that violate the rules, and thus solve this problem.
Thanks to @Ennar in the comments,
You could simply show examples of good and bad questions and explain the difference.
I agree that the First Posts review queue calls upon Reviewers to do more than simply downvote and close. The instructions at the top of that page say:
This is the first question asked by a new user. Help them learn to use the site by reviewing their post.
An anonymous downvote or vote-to-close without feedback is particularly unlikely to "help them learn" when new users post for the first time. I note the Comment by Satyendra:
Most users are students here and they know the rules.
The first part of this is unobjectionable. I consider myself a student-for-life, and the purpose of the site is to help learn mathematics. But the second part deserves critical analysis.
In addition to the mechanical rules of how the SE software works and is intended to be used, the Math.SE Community has crafted a tradition of what Questions are allowed to be asked (the traditions vary across SE Communities in substantial ways).
If one voluntarily goes into the First Post review queue, I believe one assumes responsibility for providing constructive feedback about the posts found there.