New York. First in everything.

New York invented the club sandwich. Some unheralded local yutz to whom some type of shrine should be erected invented toilet paper in 1857. In 1840, Alexander Cartwright, whoever he was, right here in New York came up with the modern baseball field. Waldorf salad — created where else? Also eggs Benedict, Steak Diane, Krispy Kreme and that incredible deliciousness that’s better than sex (at least when I had it), the egg cream.

All created in New York. Why? Because we are first in everything.

And Tuesday night, Vanity Fair’s usual opening party for the Tribeca Film Festival with its usual stellar crowd — like Jordan’s Queen Noor, Mike Bloomberg, Commish and Mrs. Commish Ray Kelly — was also a first.

New York’s very first ever freeze-your-ass-off party.

We had heat on in our homes and cars because it was a really cold night, and where was Vanity Fair’s ninth annual Tribeca Film Festival opening-night party?

Where it has been every year. On the rotunda — that’s the outside rim, the porch, the veranda — of the State Supreme Courthouse on Centre Street, which was built in the 1800s and is landmarked and revered by all except those getting sentenced and people like socialite Jonathan Farkas‘ chic wife, Somers, who wore a backless, sleeveless, armless, neckless number and carried her shawl, which just possibly meant the designer shmatta was borrowed and she had to show it for photographers.

Every April the party’s at this famous venue and, since the gods fear Vanity Fair’s Graydon Carter, the weather’s always lovely. This year the weather gods probably figured circulation’s not hot in the magazine business so they needn’t be, either.

This courthouse has giant 100-foot-wide open steps leading to the top. Nothing to blunt the wind, and the nearest bannister’s in Cleveland. Sitting on the top stone step, wrapped up like Sitting Bull, I watched types like Brian Williams, Charlie Rose, Tory Burch, Ron Perelman, David Hyde Pierce, who I’d never seen at this party before, make their windblown climb to the top. Also Barry Diller and Diane von Furstenberg, who clutched onto one another like maybe Sir Edmund Hillary and Tenzing Norgay.

I’d been sheltered from the wind lumbering up the stairs because for some reason I was right behind Robert De Niro, who said: “So you going to mention this on your TV spot Sunday morning? Not that I believe whatever you say. And not that I even get up early to tune in for you, it’s just that I like NBC. It’s my station to watch, and you just happen to be on it.”

At this point Chazz Palminteri and his wife, Gianna, came by and told me, “You look gorgeous.” De Niro peered at me, then said: “Good. Not gorgeous.”

About our 23rd step up, I asked De Niro if he goes to movies at normal times like everybody else. “Yeah. I even pay money, but I don’t stand in line because I go at odd hours. Like when it’s the first showing of the day.”

The 24th step it was, does he watch his own films when they come out? “Yes. At least once. The dailies. And I own a complete set of everything I’ve ever made. In DVDs, CDs, whatevers. Box sets. All carefully wrapped so someday — who knows — I can watch them.”

Then: “Y’know, you’re not so bad. I didn’t used to always like you. But you’re not so bad.”

By this time we’d reached the top, and enough already with such praise from this man, so I talked to his wife, Grace Hightower, who wore a tight, strapless silver sheath and looked nifty.

She said: “Looking good and keeping fit takes such effort. I go to the same gym downtown that Madonna and Gwyneth Paltrow do. It’s great. And Bob and I don’t go out every single night, but I taught him a way of life. Good breakfast. Good lunch. Light dinner.”

Kurt Andersen came by. “What time’s dinner?” he asked. Told, “No dinner. This is strictly a cocktail party,” he said: “Oh, I thought maybe I was taken off the dinner list.”

As Wendi Murdoch, John Leguizamo, Griffin Dunne, Denis Leary, John McEnroe and Harvey Keitel doing all the talking sailed by, I asked Sarah Marks, director of VF’s special projects, how long it took to put this together:

“We start cleaning on the weekend. A company comes in that steams the steps. And we install amber lights everywhere because that makes everyone look great. This year things didn’t arrive from Europe’s flower markets because of the volcano, so we ran down to the flower market here and did the best we could.”

On Friday at Tribeca, Ed Burns will be showing a movie he directed. On Saturday at Tribeca, the missus, model Christy Turlington, will be showing a documentary she directed. And what’s he doing for luck? Pulling a silver necklace with a four-leaf clover from under his shirt, Ed Burns said: “I’m counting on this.”

As I left, the magazine’s rock ‘n’ roll columnist Lisa Robinson told me: “Fran Lebowitz loves you. Every morning I read your column to her over the phone.” You read it to her over the phone? “Yeah, she somehow doesn’t get to buy the paper.”

Martha Stewart, in an outerwear jacket, schlepped around with a camera. After snapping everyone, she was the first to split for her warm car.

Only in New York, kids, only in New York.