[doc] Fix links in FirstSteps #2059

Job	Run time
Run on ubuntu-22.04 with SOFA master and python 3.10	4m 56s
Run on macos-14 with SOFA master and python 3.10	4m 44s
Run on windows-2022 with SOFA master and python 3.10	9m 46s
Deploy artifacts	0s
	19m 26s

Provide feedback