As sweetpea says, it is not impossible to get pregnant from any unprotected sex. The first day of menstruation is about the least likely day to do so, since you would not be ovulating that day, and the sperm theoretically gets swept out by the period so it is not hanging around when you do ovulate. But some women do ovulate early in their cycle. So take care.
If you don't want to get pregnant, then you need to always use protection. There is no "safe" time period to have unprotected sex, as sperm can survive inside your body for up to about a week waiting for an egg and if you ovulate early, then you can get pregnant.