Stop Finder from Opening in 1st Space
You may need to try a little experimentation to get closest to what you need [also it may not always work as expected since Yosemite]

If you right click the Finder icon in the Dock you get the options of 


All Desktops
This Desktop
Desktop n [only shows if it is currently assigned to another Space]
None


Each has advantages &amp; disadvantages.


All - will carry every Finder window with you to every Space - can be irritating.
This - ought to return you to the assigned Space with any move that brings the Finder to the front, i.e. click on Desktop. [This has been a bit broken since Yosemite &amp; doesn't always work]
None - should give no specific focussed Space &amp; I think might be the one you need. Any new window should open on your current Space.