The first appearance should be Harry Potter and the Goblet of Fire. In the second half of the movie/novel (before the third one), Harry accidentally broke into Dumbledore's memory through the pensieve and witnessed the trial of Karkaroff and Bartemius Crouch, Jr. by the Ministry of Magic. Later, Dumbledore returned to his office, explained the function of the pensieve to Harry with a puzzled face, and pulled out his "memory" like silver hair with a wand and put it in the pensieve.