It's difficult to explain, because the expressions or words can also be confusing! We could say it means, "in the first place," but that does not mean "first place" as in #1 or best or a winner. Maybe these examples will help:
"You don't like the way I'm picking up your sofa? Be glad I'm helping you at all!"
"That play is so terrible, the actors should be happy they have any audience at all!"
"I'm so angry at you, you're lucky I'm talking to you at all!"