It was at the end of the first movie.
All through the movie Donatello was having trouble coming up with synonyms for "cool." Everybody else would be saying stuff about how rad, gnarly, etc. it was when they did whatever they had just done, and when Donny's turn came he would freeze.
One time Donny even pulled out a classical music reference. "Bossa Nova!" Everyone just turned and stared at him. "Uh... Chevy Nova?" They kept staring. "Hmm... Excellent!"
At the end of the movie they were talking about how groovy it was when they aced Shredder's goons, and when Donatello couldn't come up with a good one they were trying to give him suggestions. Then Splinter said "Ahem! I have always liked... cowabunga!"
[video=youtube;40_OtoM2oM0]https://www.youtube.com/watch?v=40_OtoM2oM0[/video]