I agree that a movie is a bad place for a first date. Keep it for the third or fourth. You'll spend too much time watching the movie you won't get to know each other. The reason for the third/fourth date is that by then you'll probably have kissed her, and you'll spend most of the movie doing that rather than watching.
First impressions are the most important. It's not really about where you take her, it's about how you are around her. Take her out for a reasonable dinner. I wouldn't say McD's, but a good place would be a small restaurant that not many people know about, but with good food. And then make sure, and DON'T forget this, make sure to get her a good dessert. This hasn't been mentioned, but it's important.
And make sure you can make her laugh, or giggle. If you can't make her laugh on the first date, you're doomed.