I recently submitted query letters to four agents. I had planned to submit to one at a time until I read a post from an agent's blog that said writers should query more than one agent.
My question is: Should I email the first agent and let her know I have approached others now?
No. Unless an agent is one of those arrogant neanderthals who thinks their time is more valuable than yours (it's not) and has demanded an exclusive at the query stage, most agents expect authors to query widely and query several agents at once. You don't need to inform anyone of the obvious: you're querying widely.
It's in your best interest to query more than one agent at a time.
For starters, entirely too many of my ilk have adopted the loathsome No Reply Means No policy. Some of them don't even acknowledge receipt of your query. That means you're stuck in limbo for far too long. Unless of course you've discovered the secret to eternal life in which case query me right now.
Further, if more than one agent is interested in your project you have a chance to comparison shop and find the agent most suited to your goals. If there's only one it's like an arranged marriage. You pray it works out and if it doesn't you're sadder but wiser and definitely older.