sed uses regular expressions only, you can create a regex to look at the first field only with regex constructs; the ^ is already halfway there, as it forces the match to happen at beginning of line. Suppose the field separator is a vertical bar; then you can just add that after the string you want to search for, to anchor it properly.
Code:
sed -e '/^AAA|/w/export/home/vinay/AAA1.dat' -e '/^BBB|/w/export/home/vinay/BBB1.dat' a.dat
This finds "AAA" followed by vertical bar, but only if it is at beginning of line (because of the ^) and ditto for "BBB".
The vertical bar has special meaning to some regular expression engines, just like the ^ -- if you get erratic behavior (all lines matching all the time) then you need to backslash-quote it, like
\|. It is unfortunate that there are different dialects of
sed so that we can't know for sure whether or not this is an issue in your case.