Dungeons and Dragons

For first timers? None of them.

Make up a basic introduction quest.

How did the players meet each other? Why are they adventuring together? What are these characters all about?

If you can get the players to connect with their characters right off the bat, they'll be much more likely to come back for session 2.

I like to start them in a small town of little consequence. Throw in everyday challenges, like a tavern bully, or "we need $X by end of day". I might have some ideas of buildings and people in the town, or some low level monsters to fight, but keep it casual. Let the players guide you at first.

If you force them to push through a pre written quest that assumes they already have a grasp on the game, they aren't going to find the clues that the rest of us would think are pretty obvious. I've tried it before, thinking "if I give them a professional module, they're getting the best experience," but I had to hold their hand and pretty much tell them what to do, and nobody felt like they were playing their character, it was more like sitting through a Disney interactive ride. They were just watching it go by and waiting for me to tell them what should happen, and I don't think we even finished the quest.

Let them be silly, let them experiment and learn that they can do things here that they can't in real life, but their choices will have consequences.

Good luck! Have fun!