I have done 2 things...
1... Hold both colors together as one and CO half the # of sts needed, then sort out the alternation of them as you knit the first row. This will give you a "mottled" CO row, which can look kinda cool, depending on what you are making
2... CO the full # of sts with one color, then join the 2nd color in on the first row.
In both cases, I used long-tail CO.