MacBook – First Generation Macbook Air Firmware Locked

The MacBook Air should have come with a bootable USB flash drive for OS reinstalls. Use that and follow the same steps as 10.5.x.

To reset the firmware password it looks like you have to take it in for service at your nearest Apple Support location as noted in the following Apple Support Article MacBook Air (Late 2010) and later, MacBook Pro (Early 2011) and later, iMac (Mid 2011) and later, Mac mini (Mid 2011): Recovering a lost firmware password

Symptoms

Learn what to do if you no longer remember the firmware password that you've set or if you see a password dialog when you try to select a startup volume on a MacBook Air (Late 2010) and later, MacBook Pro (Early 2011) and later, iMac (Mid 2011) and later, or Mac mini (Mid 2011) computer.

Resolution

Only Apple retail stores or Apple Authorized Service Providers can unlock these computers protected by a firmware password.

If you cannot remember the firmware password for your Mac, schedule a service appointment with either an Apple Retail Store or an Apple Authorized Service Provider. If you plan to visit an Apple Retail store, please make a reservation at the Genius Bar using http://www.apple.com/retail/geniusbar/ (available in some countries only).

As a side note you will need the original proof of purchase.