Magento – Event on First Load

This is not possible - the event will be fired each time for every module including yours. You can only programmatically deactivate the event observer completely, but this is not what you are after.

So the thing you would normally do is to directly check in your observer method if the cookie is set and if it is not set, return instantly:

public function myObserverMethod($observer)
{
    if (<cookie_not_set>) {
        return;
    }
    // do whatever you need to do
}

I understand your point that you do not want to do it like that, because the event is fired so often. The only solution I see here is that you could potentially use a more specific event which is not fired that often like controller_action_predispatch_cms or controller_action_predispatch_cms_index_index. Have a look at the event dispatching code here in order to find a suitable event.

Transaction Flow is bit different in case of "Express Checkout".

I suggest you to use sales_order_place_after event and use payment method code to check for suitable payment method:

$orderObject = $observer->getEvent()->getOrder();
$paymentMethodCode = $orderObject->getPayment()->getMethodInstance()->getCode();