Nope. The first one is Bosnia and Herzegovina (just in 200 km from Vienna). And it was forced (raped) by NATO and the USA to become the one.
Gentleman who tried, however clumsyly, to prevent this is still on trail in the Hague, the capital of the nation which Steyn predicts would become Islamic too.
It was not actually the first Western (as opposed to merely Western European) nation to fall, though; that was Albania. Albania was once Christian. For a variety of reasons, when Albania was subjugated along with other nations in the area, Albania became Mohammedean whereas other Balkan colonies of the Ottoman remained loyal to the Faith.
Sadly, Albania no longer deserves to be considered part of Europe.