Did aids first get contracted from a human having sex with a monkey?

Blood, not sex: No. It was contracted from contact with the blood of infected monkeys through hunting and butchering.

Possibly: One theory is that AIDS exists much of the time in African monkey populations and it transfered to humans with either contact or eating the monkeys (which is comonly done in Africa). No one suggests that having sex with a monkey is the cause. An alternative explanation is that the virus mutated from a monkey only form, to a type which could infect humans.