My sister is a caregiver for my parents. What is the first step, where can she go to ask some help financially and emotionally?

More details are needed for anyone to give effective answers.

How old is your sister, your parents? What are their issues? Is she being paid by them? What are their resources? What are her resources? How much hands on care do they need? How was it decided that she would become their caregiver?

Calling the local Area Agency on Aging is a good first step.