Before a redshift z=100, about 20 million years after the big bang, the universe was nearly smooth and homogenous. After this epoch tiny fluctuations imprinted in the matter distribution during the initial expansion began to collapse via gravitational instability. The properties of these fluctuations depend on the unknown nature of dark matter, which is one of the biggest challenges in present day science. Here we present supercomputer simulations of the concordance cosmological model assuming neutralino dark matter and find the first objects to form are numerous earth mass dark matter halos about as large as the solar system. They are stable against gravitational disruption, even within the central regions of the Milky Way, and we expect over 10 to survive within the Galactic halo with one passing through the solar system every few thousand years. The nearest structures will be amongst the brightest sources for gamma-rays from particle-particle annihilation.