Answer: I'm assuming there's some kind of "key signature" there at the beginning. That would be a group of sharps or flats laid out in advance to let you know that they'll be in use for the duration unless you hear otherwise. Anywhere from one to seven sharps or flats. If the song uses a major scale on A, for example, it will have a key signature of 3 sharps: F#, C#, and G#, because you're going to need them in order to play a melody using the A major scale. Saves time just to put them in at the outset, and that also give the reader a clue about what harmonies can be expected, that is: what "key" you're in.

But sometimes one of those pitches might be altered. And if that happens on the first note it will need a natural to let you know. Songs sometimes use a note or two that is not in the current scale - if it's a note that would be sharped in the key signature but the writer wants it lowered, it will need a natural. If it's normally flatted and the writer wants it raised, it would need a natural.

If the song has no key signature - no sharps and no flats showing right after the initial clef - then it would be kind of kooky to put a natural on the first note.