The very first film screenings which took place happened either in tents of showmen who travelled around with fairs from village to village, or churches or other such venues. You can read a blog post on this subject here: Early Cinema: Bioscope Shows.
There are a number of great websites which are dedicated to Early Cinema, containing lots of useful and interesting material to read and view. I have included a number of my favourite sites below:
The University of Sheffield has the National Fair and Cirus Archive, and includes biographies of a number of significant people within the early days of cinema:
You can also view a selection of Early Cinema films here, via YouTube. This playlist contains a number of films from the very early days of cinema:
But it is still possible to see and experience some of the Early Cinema, especially Bioscopes, including at the Great Dorset Steam Fair each year.