Really, you shouldn't.
Although Raje_ is right in what the code does, it makes no allowance for the inevitable user error. And when the user makes a mistake, the app crashes.
A better approach is to use TryParse:
int num1;
while (true)
{
Console.Write("Enter the First Number : ");
if (int.TryParse(Console.ReadLine(), out num1))
{
break;
}
Console.WriteLine("Please enter an integer value!");
}
And I'd put that in a method that accepts a string and returns an int.