What is it supposed to do? I think you meant to iterate the array by varying i and j instead of row and column. In other words, check this line:
if ( first[row][col] == 0 ) //if the location was not selected,print "_"
Will row or col ever change?
In Java, arrays are zero-based, meaning the first element of an array is myArray and the last element of a 3-element array is myArray.