I want to know which method is first called by default when a xaml page is loaded in windows phone app and how can I change the method which has to be called first on load?
To directly answer your question: Initialize is the event you are looking for.
For more detailed information, Google is your friend:
Application lifecycle - http://msdn.microsoft.com/en-us/windowsphonetrainingcourse_applicationlifetimewp7lab_topic2.aspx
Controls and other objects should follow the standard event lifecycle: