We present a new preconditioner for the iterative solution of linear systems of equations arising from discretizations of systems of first order partial differential equations (PDEs) on structured grids. Such systems occur in many important applications, including compressible fluid flow and electormagnetic wave propagation. The preconditioner is a truncated convolution operator, with a kernel that is a fundamental solution of a difference operator closely related to the original discretization. Analysis of a relevant scalar model problem in two spatial dimensions shows that grid independent convergence is obtained using a simple one-stage iterative method. As an example of a more involved problem, we consider the steady state solution of the non-linear Euler equations in a two dimensional, non-axisymmetric duct. We present results from numerical experiments, verifying that the preconditioning technique again achieves grid independent convergence, both for an upwind discretization...