The application can use FindFirst via static binding or dynamic binding. If it's static binding you can find FindFirstFile function in the import section of application header.
If it's dynamic binding - it's not easy. You have to analyze the code and data sections. At least you can find FindFirstFile entry (btw, it may be unicode). Then you can try to find the code that works with this entry.
What is the exe file is compressed? I'm afraid you have to detect that and decompress it then