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The primary function of a District Court is to hear cases for the first time. This court acts as the trial court in the federal system, where most federal cases begin. In District Courts, evidence is presented, witnesses are called, and juries may be used to determine the facts of the case. This original jurisdiction allows District Courts to address a wide range of cases, including civil suits, criminal prosecutions, and other legal disputes at the first level before any appeals are made.

The other options reflect functions that are not typically associated with the District Courts. For instance, conducting appeals of federal cases is primarily the role of the Courts of Appeals, and reviewing the constitutionality of laws is mainly reserved for the Supreme Court and, to some extent, the lower courts during the trial process. Administrative law cases might be heard by specialized courts or agencies rather than District Courts. Thus, the correct answer underscores the foundational role of District Courts in the judicial system as the initial venue for legal proceedings.