If you don't want to use BMesh, the following will work:
import bpy
data = bpy.context.scene.objects.active.data
edges = data.edges # collection of all edges
verts = data.vertices # collection of all vertices
# must be in object mode of course
bpy.ops.object.mode_set(mode = 'OBJECT')
# the indices given by MeshEdge.vertices correspond to the collection of vertices
verts[edges[0].vertices[0]].select = True
# go back into edit mode to see the new selection
bpy.ops.object.mode_set(mode = 'EDIT')
BMesh can be a bit simpler though...
import bpy
import bmesh
data = bpy.context.scene.objects.active.data
bm = bmesh.from_edit_mesh(data)
bm.edges[0].verts[0].select = True