How do I apply for ITIN for the first time. I have never applied for a federal tax return in USA before since I have just moved few months ago.

Is it possible to apply and receive an ITIN number first in mail, and then apply for federal tax return? 

The Instructions for Form W-7 states that I need to have original tax return(s) for which the ITIN is needed. Attach Form W-7 to the front of your tax return. However I have not yet filed my return yet?