I want to know which company is the first that use graffiti images in
their advertisement, and what advertisement was it, and when.

An interesting angle to this....

What legal rights does the graffiti artist have to his work? By
posting it publically does he/she forgoe rights (like we do to our
property when we leave it on the street for garbage pick up)?

Or can the graffiti artist claim a fee from the advertising company
that uses his/her publically posted work?

I'd be willing to bet that the building or structure owner of the
grafitti would be the recognized owner of the "work", as they are
typically held responsible for its prompt removal.  Thus, I would
speculate that they might be able to claim that the property rights
for the grafitti would be theirs.

This seems similar to companies owning the public rights to their building facade.

It was a company of cavemen; the graffiti was on cave walls. The
advertisement may have been to a higher spirit or to the animals
depicted on the walls. The cavemen were advertising their worship and
it was quite a long time ago. Hope this helps a bit.