The first treasure available can be found in Chapter II, The Search for El Dorado. From the start of the chapter, follow river on the left side until you reach a large rock you have to climb over. Jump down on the other side and the treasure should be at Nathan's feet.
Gamefaqs user YYZed has put together a comprehensive guide detailing all the locations:
http://www.gamefaqs.com/ps3/932984-uncharted-drakes-fortune/...For reference, here is a video from youtube showing all 60 treasure locations (credit to youtube user dragoszontara).