  We use the Extended-Press-Schechter (EPS) formalism to study halo assembly
histories in a standard $\Lambda$CDM cosmology. A large ensemble of Monte Carlo
random walks provides the {\it entire} halo membership histories of a
representative set of dark matter particles, which we assume to be neutralinos.
The first generation halos of most particles do not have a mass similar to the
free-streaming cut-off $M_{f.s.}$ of the neutralino power spectrum, nor do they
form at high redshift. Median values are $M_1 = 10^5$ to $10^7M_{f.s.}$ and
$z_1 = 13$ to 8 depending on the form of the collapse barrier assumed in the
EPS model. For almost a third of all particles the first generation halo has
$M_1>10^9M_{f.s.}$. At redshifts beyond 20, most neutralinos are not yet part
of any halo but are still diffuse. These numbers apply with little modification
to the neutralinos which are today part of halos similar to that of the Milky
Way. Up to 10% of the particles in such halos were never part of a smaller
object; the typical particle has undergone $\sim 5$ "accretion events' where
the halo it was part of falls into a more massive object. Available N-body
simulations agree well with the EPS predictions for an "ellipsoidal" collapse
barrier, so these may provide a reliable extension of simulation results to
smaller scales. The late formation times and large masses of the first
generation halos of most neutralinos imply that they will be disrupted with
high efficiency during halo assembly.
