<PAGE>   1

                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION

                             Washington, D.C. 20549

                                    Form 10-Q


[X]  QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
     ACT OF 1934

     For the quarterly period ended June 30, 1999
                                    --------------------------------------------

                                       OR

[ ]  TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
     EXCHANGE ACT OF 1934

     For the transition period from _______________ to _______________


                           Commission File No. 0-7798
                                               ---------------

                              FIRST WILKOW VENTURE
--------------------------------------------------------------------------------
             (Exact name of registrant as specified in its charter)


              ILLINOIS                                     36-6169280
--------------------------------------          --------------------------------
  (State or other jurisdiction of                         (IRS Employer
   incorporation or organization)                      Identification No.)


  180 NORTH MICHIGAN AVENUE, CHICAGO, ILLINOIS                    60601
--------------------------------------------------      ------------------------
  (Address of principal executive offices)                     (Zip Code)


Registrant's telephone number, including area code: (312) 726-9622
                                                    ----------------------------



                                 NOT APPLICABLE
--------------------------------------------------------------------------------
              Former name, former address and former fiscal year,
                         if changed since last report.


            Indicate by check mark whether the registrant (1) has filed all
            reports to be filed by Section 13 or 15(d) of the Securities
            Exchange Act of 1934 during the preceding 12 months and (2) has been
            subject to such filing requirements for the past 90 days.
            YES  X   NO
                ---     ---


<PAGE>   2

                              FIRST WILKOW VENTURE
                            (A LIMITED PARTNERSHIP)
                           CONSOLIDATED BALANCE SHEET

<TABLE>
<CAPTION>
                                                                June 30,
                                                                  1999        December 31,
                                                              (Unaudited)         1998
                                                              -----------     -----------
<S>                                                           <C>             <C>
                                          ASSETS
                                          ------

REAL ESTATE AND INVESTMENTS IN REAL ESTATE PARTNERSHIPS
-------------------------------------------------------

Real Estate:

     Land                                                     $ 5,883,228     $ 5,998,791
     Buildings and Improvements                                46,032,334      46,755,663
     Fixtures and Equipment                                       113,105         113,106
                                                              -----------     -----------
            Total                                              52,028,667      52,867,560
     Less-Accumulated Depreciation                             18,896,990      18,462,083
                                                              -----------     -----------
            Net Real Estate                                    33,131,677      34,405,477
Investment in Real Estate Partnerships                          4,331,147       3,960,550
                                                              -----------     -----------
            Total                                              37,462,824      38,366,027
                                                              -----------     -----------

LOANS RECEIVABLE                                                4,554,338       1,847,019
----------------                                              -----------     -----------

OTHER ASSETS
------------

     Cash                                                         915,754         274,406
     Certificates of Deposit                                      880,000       4,825,000
     Certificates of Deposit - Restricted                         250,000         250,000
     Receivable                                                   872,343         825,457
     Prepaid Expenses                                               5,264           3,837
     Deposits                                                   1,221,300       1,050,525
     Deferred Charges                                           1,360,606       1,339,072
                                                              -----------     -----------
            Total                                               5,505,267       8,568,297
                                                              -----------     -----------

            TOTAL ASSETS                                      $47,522,430     $48,781,343
            ------------                                      ===========     ===========

                            LIABILITIES AND PARTNERS' CAPITAL
                            ---------------------------------

MORTGAGES AND LOANS PAYABLE
---------------------------

     Mortgages Payable                                        $32,054,013     $33,123,310
     Notes Payable                                                 11,027          11,027
                                                              -----------     -----------
            Total                                              32,065,040      33,134,337
                                                              -----------     -----------

OTHER LIABILITIES
-----------------

     Accounts Payable and Accrued Expenses                         69,396         120,911
     Accrued Property Taxes                                     2,439,617       2,353,683
     Deferred State Income Taxes                                  200,000         200,000
     Security Deposits and Prepaid Rent                           450,445         925,340
     Accrued Interest                                              35,035          34,500
                                                              -----------     -----------
            Total                                               3,194,494       3,634,434
                                                              -----------     -----------

MINORITY INTEREST                                               1,815,508       1,715,413
-----------------                                             -----------     -----------

PARTNERS' CAPITAL  (170,916 units authorized and issued)       10,447,387      10,297,159
-----------------                                             -----------     -----------

     TOTAL LIABILITIES AND PARTNERS' CAPITAL                  $47,522,430     $48,781,343
     ---------------------------------------                  ===========     ===========
</TABLE>

Note:  Balance Sheet at 12/31/98 has been taken from the audited financial
       statements at that date.

                                      -2-
<PAGE>   3

                              FIRST WILKOW VENTURE
                      CONSOLIDATED STATEMENT OF OPERATIONS
                    SIX MONTHS ENDED JUNE 30, 1999 AND 1998
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                               Three Months                 Six Months
                                              Ended June 30,              Ended June 30,
                                         -----------------------     ------------------------
                                            1999         1998           1999          1998
                                         ----------   ----------     ----------    ----------
<S>                                      <C>          <C>            <C>           <C>
REVENUES
--------

    Rental Income                        $2,597,850   $2,456,113     $5,072,458    $4,885,554
    Interest Income                         121,631       65,697        232,528       141,945
    Other Income                            225,596            0        225,596             0
                                         ----------   ----------     ----------    ----------
                                          2,945,077    2,521,810      5,530,581     5,027,499
                                         ----------   ----------     ----------    ----------

PARTNERSHIP INVESTMENTS' INCOME (LOSS)
--------------------------------------

    Share of Net Income (Loss)               56,515        5,652        120,137        11,948
                                         ----------   ----------     ----------    ----------
                                             56,515        5,652        120,137        11,948
                                         ----------   ----------     ----------    ----------

EXPENSES
--------

    Operating Expenses                      561,043      617,852      1,276,884     1,213,753
    Real Estate Taxes                       580,851      614,163      1,176,082     1,249,402
    Depreciation and Amortization           437,266      457,318        886,215       898,510
    Interest Expense                        609,093      689,594      1,264,688     1,328,476
    General and Administrative              191,874      177,206        312,225       282,828
                                         ----------   ----------     ----------    ----------
                                          2,380,127    2,556,133      4,916,093     4,972,969
                                         ----------   ----------     ----------    ----------

INCOME (LOSS) BEFORE
--------------------
    MINORITY INTEREST
    -----------------
    AND TAXES                               621,466      (28,671)       734,625        66,478
    ---------

MINORITY INTEREST IN
--------------------
    SUBSIDIARIES NET INCOME/LOSS           (199,739)       6,402       (182,746)      (46,080)
    ----------------------------

PROVISION FOR STATE
-------------------
    INCOME TAXES                                  0            0              0             0
    ------------                         ----------   ----------     ----------    ----------

NET INCOME (LOSS)                        $  421,727     ($22,269)    $  551,880    $   20,398
-----------------                        ==========   ==========     ==========    ==========


UNITS USED TO COMPUTE PER UNIT AMOUNTS      170,916      170,916        170,916       170,916

NET INCOME (LOSS)/PER UNIT               $     2.47       ($0.13)    $     3.23    $     0.12
                                         ==========   ==========     ==========    ==========

DISTRIBUTION PER UNIT                    $     2.00   $     3.70     $     2.35    $     3.95
                                         ==========   ==========     ==========    ==========
</TABLE>

NOTE 1:  No provision for Federal Income Taxes has been made since First Wilkow
         Venture is a partnership and the partners report their pro-rata share
         of income or loss individually.

                                      -3-
<PAGE>   4

                              FIRST WILKOW VENTURE
                      CONSOLIDATED STATEMENT OF CASH FLOWS
                    SIX MONTHS ENDED JUNE 30, 1999 AND 1998
                                  (UNAUDITED)

<TABLE>
<CAPTION>
                                                                        Six Months Ended June 30,
                                                                       --------------------------
                                                                          1999            1998
                                                                       ----------      ----------
<S>                                                                    <C>             <C>
CASH FLOWS FROM OPERATING ACTIVITIES
------------------------------------

Net Income (Loss)                                                      $  551,880      $   20,398

Non Cash Items Included in Net Income

       Minority Interest in Subsidiaries Net Income/Loss                  182,746          46,080
       Depreciation and Amortization                                      886,215         898,510
       Amortization of Debt Forgiveness Income                                  0         (35,676)
       Net (gain) loss on disposal of land, building and improvements  (1,125,671)              0
       (Decrease) Increase in Net Payable and Accrued Expense            (659,028)       (225,532)
       Share of Partnership's Net (Income) Loss                          (120,137)        (11,948)
                                                                       ----------      ----------

Total Cash Provided (Used) from Operating Activities                     (283,996)        691,832
                                                                       ----------      ----------

CASH FLOWS FROM INVESTING ACTIVITIES
------------------------------------

       Partnership Investment Draws                                       103,771         602,894
       Cash Proceeds from sale of Real Estate                           1,125,671               0
       (Increase) Decrease in Land and Buildings                          550,399        (491,634)
       Investment in Partnerships                                        (354,231)       (508,081)
       (Decrease) Increase in Minority Interest                           (82,650)       (110,200)
       (Decrease) Increase in Mortgage and Notes Payable                2,200,000       8,947,513
       (Increase) Decrease in Mortgage and Notes Receivable            (2,707,319)          2,000
       Investment in Deferred Charges                                    (184,348)       (621,248)
                                                                       ----------      ----------

Total Cash Provided (Used) from Investing Activities                      651,293       7,821,244
                                                                       ----------      ----------

CASH FLOWS FROM FINANCING ACTIVITIES
------------------------------------

       Cash Distribution to Partners                                     (401,653)       (675,118)
       Mortgage Principal Payments                                     (3,269,296)     (7,395,362)
                                                                       ----------      ----------

Total Cash Provided (Used) from Financing Activities                   (3,670,949)     (8,070,480)
                                                                       ----------      ----------

INCREASE (DECREASE) IN CASH AND EQUIVALENTS                            (3,303,651)        442,596

CASH AND EQUIVALENTS - BEGINNING OF PERIOD                              5,099,406       3,186,660
------------------------------------------                             ----------      ----------

CASH AND EQUIVALENTS - END OF PERIOD                                   $1,795,755      $3,629,256
------------------------------------                                   ==========      ==========
</TABLE>

                                      -4-
<PAGE>   5
                              FIRST WILKOW VENTURE
                   NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
                                  JUNE 30, 1999


1.       Financial Statements

         The financial statements have been prepared in accordance with
generally accepted accounting principles. Under this method of accounting,
revenues are recorded when earned and expenses are recorded when incurred.

         Reference is made to the Partnership's annual report for the year ended
December 31, 1998, for a description of other accounting policies and additional
details for the Partnership's financial condition, results of operations,
changes in partners' capital and statement of cash flows for the year then
ended. The details provided in the notes thereto have not changed as a result of
normal transactions in the interim.

2.       Subsequent Events

         On July 10, 1999, the Partnership made a distribution to its partners
         in the amount of $85,458.00 or $.50 per unit based on 170,916 units
         outstanding at June 30, 1999.

         On July 29, 1999, the property owned by the Partnership at 47th and
Halsted was sold for $3,300,000. This resulted in paying off of the notes
payable in the amount of $1,455,000 and $600,000 for a net gain on sale of
$1,248,730.58.













                                       -5-


<PAGE>   6

                              FIRST WILKOW VENTURE
                                    FORM 10-Q
                       MANAGEMENT DISCUSSION AND ANALYSIS
                           OF FINANCIAL CONDITION AND
                              RESULTS OF OPERATIONS
                                  JUNE 30, 1999


Overview

         Reference is made to partnership's annual report for the year ended
December 31, 1998 for a discussion of the partnership's business.

         On January 10, 1999, the Partnership made a distribution to its
partners in the amount of $59,820.60, or $.35 per unit.

         On January 6, 1999, loans were made to Orhow, Cenbuil, and 21st M&J
Venture in the amounts of $315,785, $274,000, and $413,740 respectively.

         On January 6, 1999, the Partnership made an additional investment in
XXI Office Plaza Associates in the amount of $359,625. On April 9, 1999,
Partnership received a 9% return on this investment equal to $5,394.38.

         On February 10 and March 31, 1999, additional loans were made to
Arlington LLC for the purchase of land parcels in the amounts of $365,106.61 and
$178,174.88, respectively.

         On March 31, 1999, the mortgage debt encumbering a property owned by
M&J/Retail Limited Partnership, Diversey & Sheffield, in the amount of
$1,805,685.86 was paid in full. A new first mortgage loan of $1,300,000 bearing
an annual interest rate of 7.95% was provided by Column Financial on April 12,
1999.

         On April 1, 1999, an outlot parcel on a property owned by M&J/Retail
Limited Partnership, Broadway Festival, consisting of 6,000 square feet was sold
for a net gain on sale of $26,390.51, classified as Other Income on the
Consolidated Statement of Operations.. The mortgage debt encumbering another
property owned by M&J/Retail Limited Partnership, 111th and Western, in the
amount of $545,823.20 was paid in full on April 1, 1999.

         On April 2, 1999, a loan receivable from Arlington LLC was paid down by
$89,487.44. On May 3, 1999, an additional loan was made to Arlington LLC for the
purchase of land parcels in the amount of $100,000.

         On April 6, 1999, a portion of a property owned by M&J/Retail Limited
Partnership, Diversey & Sheffield, consisting of 3,355 square feet was sold for
a net gain on sale of $199,205, classified as Other Income on the Consolidated
Statement of Operations.

         On April 10, 1999, the Partnership made a distribution to its partners
in the amount of $341,832.00 or $2.00 per unit based on 170,916 units
outstanding at March 31, 1999.

         On April 14, 1999, a property owned by M&J/Retail Limited Partnership,
Oak Lawn Square shopping center in Oak Lawn, Illinois, was refinanced with Banc
One Mortgage. The principal of the new first mortgage loan is $900,000 bearing
interest at an annual rate of 8.03%. The existing mortgage loan of $683,821 was
paid off resulting in net refinancing proceeds of $185,425.

         On June 29, 1999, a loan was made to M&J/NCT Louisville, LP in the
amount of $1,150,000 for the purchase of a 40-story, 723,300 square foot Class A
office building located in Louisville, KY.




                                       -6-


<PAGE>   7

Year 2000 Issue

         The Partnership is working to resolve the potential impact of the year
2000 on the ability of the Partnership's computerized information systems to
accurately process information that may be date-sensitive. Any of the
Partnership's programs that recognize a date using "00" as the year 1900 rather
than the year 2000 could result in error or system failures. The Partnership
utilizes a number of computer programs across its entire operation. The
Partnership has not completed its assessment, but currently believes that costs
of addressing this will not have a material adverse impact on the Partnership's
financial position. However, no estimates can be made as to the potential
adverse impact resulting from the failure of third party service providers and
vendors to prepare for the year 2000. The Partnership is attempting to identify
those risks as well as to receive compliance certificates from all third parties
that have a material impact on the Partnership's operations.





















                                       -7-


<PAGE>   8

                                     REMARKS


         In the opinion of the General Partners, the financial information of
this report includes all adjustments, including estimated provisions for items
normally settled at year end, and is a fair statement of the results for the
interim ended June 30, 1999 and 1998.


                                   SIGNATURES


         Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the Registrant has duly caused this report to be signed on
its behalf by the undersigned thereunto duly authorized.



                              FIRST WILKOW VENTURE




                               By:  Marc R. Wilkow
                                    --------------------------------------
                                    Marc R. Wilkow, General Partner and
                                    President of M & J Wilkow, Ltd., its
                                    Managing Agent


DATED: August 10, 1999


         Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
Registrant, in the capacities indicated, on August 10, 1999.





                                    Clifton J. Wilkow
                                    --------------------------------------
                                    Clifton J. Wilkow, General Partner and
                                    Executive Vice President of
                                    M & J Wilkow, Ltd.



                                    Thomas Harrigan
                                    --------------------------------------
                                    Thomas Harrigan, Vice President of
                                    M & J Wilkow, Ltd.








                                       -8-