How to customise wp-login.php only for users who are setting a password for the first time?

You can add an extra help message box, on the reset password screen:

with the following:

 /**
  * Display an extra help message box on the 'reset password' screen
  * 
  * @link http://wordpress.stackexchange.com/a/204429/26350
  */
 add_action( 'validate_password_reset', function( $errors )
 {
    add_action( 'login_message', function( $message )
    {
        // Modify this help message box to your needs:
        $mybox = sprintf( 
            '<br/><p class="message reset-pass">%s</p>',
            __( 'Some help text here!' )
        );

        return $message . $mybox; 
    } );
 } );

Here we add the extra message box by using the login_message filter. It should only show up on the reset password screen, because we hook it into the validate_password_reset action.