Coldfuse is quite correct in saying that the first musical instrument is the human voice.
The first instrument created as a separate tool we can assume to be the drum; or at least a very primitive precursor of it. We can be sure that in the way primates beat their chests with their clenched fists to announce their presence or threaten their enemies, early man did likewise. But early man soon learned to use a stick or club to strike an acoustically responsive surface to produce a more effective noise for the same reasons. When he was threatened by dangerous animals or members of another, hostile tribe, the ability to make a frightening noise helped to scare the aggressor away and help preserve his safety. Because early man had no iron or steel to fashion his drums he would use perishable materials, such as hollow logs or trees, which would decompose very rapidly. Therefore we have very little record of these instruments from thousands of years ago. However, we are reasonably sure that as time passed, a more advanced and elaborate kind of drum would have been constructed by stretching an animal skin over a small pit excavated from the ground; or over a hollow log, which would then be hit with a stick or a bone.
After different kinds of drums would have come wind instruments of the kind mentioned by Coldfuse above; probably starting with naturally-occurring hollow tubes which would produce a note when blown. The Australian Didgeridoo is an example of one of these tubes refined and developed over thousands of years which produces a beautiful, haunting effect in the hands of a skilled performer.
Again, being of perishable material early wind instruments had no chance of surviving for very long; and the best we can deduce is from those simple instruments which are still used today by remote tribesmen in highly-inaccessible parts of the world.
Finally; don't forget that all early music was performed not for pleasure, but for religious purposes; to appease the gods, to produce good harvests and to make the rains come or stop, etc., etc. Often highly organised religious processions and complex dancing along with eating certain foods and mind-altering drugs were all part of the whole process. Not until ways of storing food for use through times of shortage, and the ability to create leisure time to enjoy, did music of any kind start to be created and enjoyed for its own sake, instead of just for magical and religious purposes.
With the knowledge of how to forge metals came the ability to produce musical instruments far better able to withstand the ravages of Time, such as primitive trumpets; some of which we have discovered during archaeological excavations and which still can be made to produce their notes even today.
