'To begin with' or 'In the first place'

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There's nothing wrong with the original sentence. You made it wrong by adding "in the first place"!
I hear people using 'to begin with' and 'in the first place' all the time. I actually thought I knew how/when to use it. It seems like I was wrong.
Could you let me know if the following sentence is correct?
A person died in an accident and one of his friends blamed the government and said:
"We shouldn't have been born in this country in the first place."
 
That's a very strange example. It's an odd thing to say about where one is born. Do these help?

Helen: My brother's in hospital.
Dave: What happened?
Helen: He fell off the roof of the church last night.
Dave: Well, I've got no sympathy for him. He shouldn't have been on the roof in the first place!

Bob: I've just seen the most dreadful film!
Philippa: What was it?
Bob: Some nonsense about aliens and volcanoes and dwarves. It was on that new channel, Cheesy Movies 24/7.
Philippa: Why were you watching that channel in the first place?
Bob: Oh, I don't know. I guess I wanted to see if it was as bad as it sounded.
 
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