Why is my first polenta not easy to cut?
As your question stands, the possible answers are essentially:


You used too much liquid or too little cornmeal.
You didn't cook it long enough.
You didn't cool it enough for it to firm up.


Polenta is the sort of food that you should make by trusting your senses over a recipe. You should be able to tell, with a little bit of experience, whether it's too thin and wet after cooking for it to set once it cools. If it is, you can cook it a bit longer on low heat to get more water out of it, and the next time you can compensate with more cornmeal or less liquid.

Also, since I don't know what recipe you used, do note that there are also recipes out there for soft polenta (usually described as such), which is intended to be served soft, not cut.