Ok, first-order coherence is spatial or temporal coherence. This is what you test in a double slit experiment (spatial coherence) or a Mach-Zehnder-interferometer (temporal coherence). It is a measure of the time scale or spatial scale over which the phase of a light field randomizes. The first-order coherence function in time is basically the Fourier transform of the spectral width of your light field. Therefore, if the emission is very narrow in energy, it will have a long coherence time and if it is very broad, the coherence time will be short.
For spatial coherence, you get a similar relation with the angular width of the source as seen by the double slit. The broader the range of angles is, from which the light field may reach the double slit from the light source, the smaller the spatial coherence will be. You can try that yourself. build a simple double slit experiment and vary the distance between the light source and the double slit. If the distance becomes too small, the interference pattern will vanish. This is also why a pinhole was used prior to the double slit in the original Young double slit experiment. Both temporal and spatial coherence apply to ensembles of single photons as well.
Now the problem is that you want a large spread of emission angles for (momentum)-entangled light because this is the entangled quantity. Filtering a small range of emission angles therefore reduces the entanglement. However, the entanglement gives you second-order coherence of the total light field (which is what creates the interference pattern in coincidence counting experiments). It turns out that one cannot have both - entanglement and first-order coherence - at the same kind in these setups.
A detailed description is given in: "Demonstration of the complementarity of one- and two-photon interference", Phys. Rev. A 63, 063803 (2001), also available on the ArXiv for free:
http://arxiv.org/abs/quant-ph/0112065.