JamesBond007: 1st level - Outer Walls? There is one secret room in this level.
tinyE: I don't want to be a pain, but where? :P
I am talking about the very beginning, level one of the entrance.
In DROD 4, Outer Walls is the first level you can access a secret. The breakable walls are in 2S2E. If you're playing DROD 1, they're in Third Level 1N1W.
Don't feel pressured to beat them (or even look for them) on your first run through. Secret rooms are special in that the game remembers if they have *ever* been conquered by you, not just if you've conquered them in your current save game. So even if you restore to a point where the secret room looks unconquered, the game knows that you beat it once before and still counts it in the final stats.
Also, once you've finished the game the restore screen shows you how many secrets exist on each level and how many you've beaten, which makes the hunt easier. Typically people will play the game and stumble across a few obvious secrets on the way, but then find and attempt the rest by restoring around after finishing the hold.