Check out the Basic Techniques cast-on section. There are different kinds of cast-ons. The only ones I know of that create an already-knitted row are the Double Cast-on (Long-Tail cast-on) that Nuno mentioned, and Old Norwegian cast-on.
If it's not these, then you don't count the cast-on as the first row.
Hope that helps.
KnittingHelp Queen Bee
It is not because things are so difficult that we do not dare; it is because we do not dare that they are difficult.