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You will clear immigration at CDG as this is your first port of entry into the Schengen zone. The remainder of your flights are effectively "domestic" flights (called internal flights) as there are no border controls within the Schengen zone.
Make sure you have all supporting documents for the purpose of your trip, as you may be asked for these at the immigration counter. So, have on hand copies of your hotel reservation, your flight itinerary, if you are being invited a copy of your invitation letter, etc.
Once you arrive at CDG, follow the signs for transit passengers and before you can enter the transit area, you'll go through passport control (as your remaining flights are internal (within the zone) and not international flights - you have to cross into a different secured area of the airport).
You will clear customs (collect your luggage) at your final destination.
I had the same experience (although at a different airport - Amsterdam) where I was flying KLM to my final destination (which was not in the Netherlands).