Code First: In the Code First approach, you avoid working with visual model designer (EDMX) completely. You write your POCO classes first and then create database from these POCO classes. Developers who follow the path of Domain-Driven Design (DDD) principles prefer to begin by coding their classes first and then generating the database required to persist their data.

Code-first approach allows us to create our custom classes first and based on those custom classes entity framework can generate database automatically for us.

In Entity Frame work Code First means ,you directly write POCO Classes. Data base is created from this POCO Classes.

http://www.dotnet-tricks.com/Tutorial/entityframework/R54K181213-Understanding-Entity-Framework-Code-First-Migrations.html