Western philosophy begins with the Greeks, and Thales is widely regarded as the first Greek philosopher. He was the first thinker in that tradition for whom filling in the gaps in our knowledge was not a process of mythologizing, but of attempting to discover truth through use of one’s critical faculties. In other words, the answer to every question wasn’t, “the gods did it, and here’s a story about why,” but, “well, let’s try to find out.”
Anaximander was a student of Thales, and was the first to actually write down his thoughts. He was also considered by some to be the first scientist in human history. Note that at this point, philosophy was still more or less indistinguishable from science; both Thales and Anaximander were dedicated to seeking out natural explanations for physical phenomena.
That changed with Heraclitus, the “weeping philosopher,” who, you could argue, might compete with Thales for the title of “first philosopher.” That’s because he constructed arguments about value, meaning, and the underlying structures of the universe, beneath empirical observation.
These philosophers are all known as pre-Socratic philosophers, because it is Socrates who really built the Western philosophical tradition on the foundation laid by these men. He took Thales’ pursuit of truth, combined it with Heraclitus’ obsession with meaning, value, and non-physical claims, and created a new argumentative system of addressing these subjects: the Socratic method.
The Socratic method is a logically rigorous system in which one starts from a single premise and gradually builds on it (or tears it down) through a series of targeted questions. When dealing with a large topic, you generally break it down until smaller arguments and take them one at a time, in sequence.
That, then, is the Western philosophical tradition in a nutshell. There are deviations from the method (mostly in the continental tradition, such as Nietzsche), but this is, broadly speaking, the basis for everything that followed.