When were the first christian churches built?

For Christians, the Church is the people, not the building. The very first Christian churches met in peoples' houses.

Romans 16:3 Greet Priscilla and Aquila my helpers in Christ Jesus:
Romans 16:5 Likewise greet the church that is in their house.
Colossians 4:15 Salute the brethren which are in Laodicea, and Nymphas, and the church which is in his house.
Philemon 1:2 And to our beloved Apphia, and Archippus our fellowsoldier, and to the church in thy house:

The actual first building built for Christian worship is lost in antiquity. However, there is information on the internet about ruins of a chuch building in Dura-Europos, Syria from 235 AD.