Here are the transformed sentences based on your list:

1. This is the first time we have watched this film.
- We have never watched this film before.

2. They started to cook 30 minutes ago.
- They have been cooking for 30 minutes.

3. She began learning English last week.
- She has learned English since last week.

4. The last time she met me was five weeks ago.
- She hasn't met me for five weeks.

5. It's five days since her mother phoned her.
- Her mother hasn't phoned her for five days.

6. After we had finished our homework, we went out for a walk.
- Before we went out for a walk, we had finished our homework.

7. He last played football last Tuesday.
- He hasn't played football since last Tuesday.

8. She last cooked two weeks ago.
- She hasn't cooked for two weeks.

9. Before he cooked dinner, he had gone to the market.
- After he had gone to the market, he cooked dinner.

10. I have never travelled to Nha Trang before.
- This is the first time I have travelled to Nha Trang.