A “First” derives from a 1st class degree: in this context, it is the highest grade ranking in Oxford exams.
“Mods” are the exams some Oxford undergraduates sit at an early stage in the degree course. Mods are usually taken at the end of the first year.
Oxford examinations are traditionally sat in the dedicated Examination Schools. The current buildings were completed in 1882. They were designed by Sir Thomas Jackson (1835-1924), who had been a student at Wadham College, Oxford.
Students are expected to wear formal academic dress, known as Subfusc, to sit exams. Since the University of Cambridge discontinued a similar tradition, Oxford is perhaps the only remaining English university to require this formality.