I was just now criticizing Wizards in a comment.
In fact, what was the first Wizard, and when?
Indeed, can one fairly and definitively state: "Microsoft invented Wizards" ...?
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Well Roger's answer sums it up pretty nicely but here is another reference I found from PC Mag (that agrees that 91/92 is when this type of wizard arrives from Microsoft).
Microsoft sparked the trend with a series of Wizards that came with Microsoft Publisher 1.0, Microsoft Excel for Windows 4.0, and Microsoft Access. Eschewing the step-by-step tools approach found in most software, Wizards take a more task-oriented path to helping you get your work done.
Publisher 2.0 was 1991.
It's not really a UX question, but...
In the context you imply (i.e. a software assistant) then 1991/1992 was the first mention or introduction of wizards as you can read in the answers to the question Origin of the term “wizard” in computing on the English stack exchange site.