First law of thermodynamics is just an extension of
principle of conservation of energy.For that the concept
of a thermodynamic system is very important to
understand.A thermodynamic system is a system that
can interact with its surroundings or environment in at
least one way which is heat transfer.
And the example you have drawn over here is that of the
paper being burnt.Principle of conservation of energy is
not being violated over here.Only chemical energy is
being converted into heat energy (maybe some light and
sound) too.
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From J.R.R. Tolkien's 'The Lord of the Rings':
All that is gold does not glitter
Not all who wander are lost
The old that is strong does not wither,
Deep roots are not reached by frost.
From ashes a fire shall be woken
From shadows a light shall spring
Renewed shall be blade that's broken
The crown less again shall be king.