Peskin's Immersed Boundary (IB) method is one of the most popular numerical methods for many years and has been applied to problems in mathematical biology, fluid mechanics, material sciences, and many other areas. Peskiness IB method is associated with discrete delta functions. It is believed that the IB method is first order accurate in the $L^{\infty}$ norm. But almost no rigorous proof could be found in the literature until
recently [Mori, Comm. Pure. Appl. Math: 61:2008] in which the author showed that the velocity is indeed first order accurate for the Stokes equations with a periodic boundary condition. In this paper, we show first order convergence with a $\log h$ factor of the IB method for elliptic interface problems with Dirichlet boundary conditions.