When you get to the end of the first row, turn the work just the way you would if you were at the end of the row on straight needles. Take the needle in your right hand and switch it to your left hand and pick up the other end of the circular in your right hand and begin knitting the next row.
I found this a little disorienting the first time too. It might help you to shove all the stitches that are at the far end (where the working yarn isn't) off the needle tip and onto the cable. Then just ignore the fact that the two needles are tethered to each other and work with them like they're just really really long straight needles.