When you first run an app, you can display the welcome message & then create any normal file like any .txt. Make your code such that @ startup each time it will see if that file is present or not. If present, go to main screen n if not, show welcome message & create the file.
Edit:
Agreed with Doctoror Drive. Much richer way of storing data is with Record Store. Check this.
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solved First application run in J2ME [duplicate]