The first sheep in vehicle (4)
I believe the answer is:
tram
'vehicle' is the definition.
(tram is a kind of vehicle)
'the first sheep' is the wordplay.
'the first' becomes 't' (1st letter of 'the').
'sheep' becomes 'ram' (male sheep).
't'+'ram'='TRAM'
'in' is the link.
(Other definitions for tram that I've seen before include "Streetcar" , "Old city transport, ram on rails through streets" , "Rail vehicle" , "Electric vehicle" , "multi-faceted yarn" .)