What language do they build other languages with?

What language is used to build low level languages like c++ and java?

How could you build the first language with no language?

In the context of compilers, this operation is often called bootstrapping. In particular, see the "Chicken and egg problem" section for a direct answer to your question.

The very first compiler would have been hand-written in assembly language. If your next question is "how was the first assembler written?" then the answer would be that the first assembler was hand-written in binary machine code, possibly with front panel toggle switches. This is undoubtedly a simplification of what really happened, but the concept is the same.

There is also an excellent article titled Reflections on Trusting Trust by Ken Thompson about the risks of using a compiler for a language to build the compiler for that language.

You don't build a language, but you build a compiler or an interpreter ... and for this you can choose any language even the language you want to compile ...

The first self-hosting compiler — capable of compiling its own source code in a high-level language — was created for Lisp ... Since the 1970s it has become common practice to implement a compiler in the language it compiles, although both Pascal and C have been popular choices for implementation language. http://en.wikipedia.org/wiki/Compiler

Much of this kind of thing is done in C.

The first C compiler was not written in C; it was PDP-11 assembler. Other early C compilers have been written in various assembler languages.

But all subsequent C compilers actually are written in C, based on an early "Portable C Compiler". Yes, it's circular. But the version x compiler can be used to build the version x+1 compiler.