Первый заход в парную длился пять минут.

Because первый agrees with заход, and заход is a masculine noun.

• заход = masculine
• so the adjective must also be masculine: первый

If the main noun were feminine, then you would use первая.

In this context, заход means something like:

• a round
• a session
• one visit/in
• one time going in

This is common in sauna or bathhouse language. So первый заход is not just a literal first entry, but more naturally the first round in the steam room.

Because в can mean either:

• into
  • accusative
• in/inside
  • prepositional

Here the idea is going into the steam room, so Russian uses the accusative:

• в парную = into the steam room

Compare:

• в парную = into the steam room
• в парной = in the steam room

Even though the whole sentence is about the duration of the round, the noun заход implies movement into that place.

Парная means steam room or sauna room, especially in a Russian bathhouse context.

It originally comes from парная комната:

• парная = steam-room / steamy
• комната = room

In everyday speech, комната is omitted, and the adjective парная is used like a noun. This is very common in Russian.

So:

• в парную literally comes from в парную комнату
• but people normally just say в парную

The infinitive is длиться = to last.

длился is:

• past tense
• masculine singular
• agrees with заход

So:

• заход длился = the round lasted

Russian past tense verbs agree in gender and number with the subject:

• masculine: длился
• feminine: длилась
• neuter: длилось
• plural: длились

Длился is a very natural verb for stating duration.

• длиться focuses on the fact that something lasted for a period of time
• продлиться can also mean to last, but often sounds a bit more bounded or result-focused

In a plain statement like it lasted five minutes, длился is completely normal and probably the most straightforward choice.

Because after numbers 5 and higher, Russian normally uses the genitive plural form of the noun.

So:

• одна минута
• две / три / четыре минуты
• пять минут
• шесть минут

Here минут is the genitive plural form of минута.

As a time duration expression, yes, the whole phrase functions as an accusative of duration: for five minutes.

However, the noun after пять still appears in the form required by the numeral:

• пять минут

So learners often think of it this way:

• the phrase as a whole expresses duration
• but after пять, the noun takes the form минут

That is why it does not look like a simple standalone accusative noun form.

Russian often expresses duration without a preposition.

English says:

• It lasted for five minutes

Russian simply says:

• длился пять минут

So Russian frequently uses a bare time expression where English uses for.

Russian has no articles.

So первый заход can mean:

• the first round
• a first round

Which one sounds right depends on context. In this sentence, English will usually translate it as the first round because it refers to a specific first round in a sequence.

Yes. Russian word order is flexible.

The neutral order here is:

• Первый заход в парную длился пять минут.

But other orders are possible, for example to shift emphasis:

• Пять минут длился первый заход в парную.
• В парную первый заход длился пять минут.

These are all understandable, but the original sentence sounds the most natural and neutral in many contexts.

It is not a completely fixed idiom, but it is a very natural collocation in sauna/bathhouse speech.

Russian speakers often talk about sauna use in rounds or entries:

• первый заход
• второй заход
• ещё один заход

So заход в парную is a normal way to describe one session of going into the steam room.

Yes, depending on the exact setting.

Possible alternatives include:

• в парилку = into the steam room
• в сауну = into the sauna

But they are not always identical in nuance:

• парная / парилка strongly suggests a steam-room or bathhouse setting
• сауна may suggest a sauna more generally

So в парную is a very natural choice if the context is a Russian bathhouse or steam room.