The very first live improvised show I saw was during the Fringe festival, or at SAK Comedy Lab, or both, in the early 2000s. It's hard to say.
Back then, SAK (in their 2nd home near the Orlando Arena and Bob Carr) was being used as a venue for Fringe, along with Mad Cow, Will's Pub, Cafe Annie, Orlando REP, and Church Street Exchange if I remember correctly. I'm sure I didn't see shows in all of the venues back then, but I now realize how special the festival was and is to the city.