1) From WAR: It is said that "Ladies First" Arose from the war time where soldiers will let the ladies go out first in order if enemies are there the ladies are shot and the men soldiers can then shoot back on the enemies in order not to loose the soldiers. Though its hard to believe that such a term can come from such a cruel contradicting story.
2) The Women and Children First: Another say this originated from the women and children first as evident with the titanic where 74% of women were saved, 52% of children were saved but only 20% of the men on the titanic survived. Source:WikiPedia on Women And Children First
3) Religion: According to Chabad.org, a site that reports on Judaism and the Torah, the "ladies first" rule is a very old tradition. The story goes that when Moses was instructed to inform the people of Israel about the Torah, he was told to "speak to the house of Jacob, and tell the sons of Israel." (ÀÌÇÏ »ý·«)