The earliest available recording is indeed from the 10th November 2001 although this has never been on the XFM website. The earliest show they've ever made available was from 12th January 2002.
The Ricky Gervais Show started in September 2001, the first few shows have never been found and are never likely to be.
Gervais did join XFM in 1997 but was fired a year later when the Capital Group took over. In that time he only did a few months worth of shows with Stephen Merchant, Karl Pilkington was not involved at that time.
I have a website where you can listen to more than 80 shows they did between 2001 and 2005. If you wanna check it out click the link below.