Book from which I study Roman law first (7)
I believe the answer is:
lexicon
'book' is the definition.
(lexicon is a kind of book)
'i study roman law first' is the wordplay.
'study' becomes 'con' (con can mean to study).
'roman law' becomes 'lex' ('law' in Latin).
'first' says to put letters next to each other.
'i'+'con'='icon'
'icon' after 'lex' is 'LEXICON'.
'from which' acts as a link.
(Other definitions for lexicon that I've seen before include "Word reference book" , "Dictionary, especially of ancient languages" , "set of terms" , "Nice lox (anag)" , "Book of words" .)