When was the first Thanksgiving celebrated?

I thought it was with the pilgrims and the indians, but a friend of mine that is an atheist said Thanksgiving is a peagan holiday, just like Christmas, Easter, Halloween, and Valentine's Day. He also said that if people realized it wasn't a Christian holiday, but a peagan one, they would get upset and freak out, so that's why everyone lies about it. So, what's the truth here? When did the peagans in Europe first start sitting down at a table with a turkey, potatoes, and pumpkin pie, say grace with their families, and give thanks to their God for the harvest and blessings in their life? Anyone know around what year they started doing that?