Does the first page of a website have to be called index.html or can it also be called main.html?

The first page of any website has a index file, thats the main root for every website. However you could have an index file and have main.html be the page for the main page if you wanted.

yeah. most servers recognize index as being the homepage. But index could be your enter page.

The default page names recognized by most servers are index.htm(l) and default.htm(l). If you have access to the server setup (your own server), you can input your own page name of main.html as a default that the server would then recognize.

If you're paying for hosting, then you will have to use one of the standard names.