But if you don't have a script, and don't want to tell the players what they are supposed to do, how do you know what to prepare?
The impression I am getting here is that people think the best way to do it is to start by getting a group of players and having them make characters, and only then start working on content for the first adventure. Do I get that right?
Right.
So the next step, is not to think of characters as stats and skills, but as goals and ambitions, responsibilities and flaws and dependents and loyalties, oaths and secrets.
So if the players don't create all these things you still don't end up with S&S. You end up back in D&D land with GM-curated plots. If you don't let the players define their own characters' protagonism then you only ever end up with GM-led play.
So, to build on what
@pemerton said, you sit down with a copy of Burning Wheel and say to the group; "Okay, I'd be interested in running some sort of sword and sorcery thing where you guys are all badass individuals with your own agenda.
"Maybe it's a bit like Elric with depraved, corrupt nobles and wierd demons? What kind of characters do you want to play?"
And what you need
from the players is stuff like this:
"Yeah, I want to play a hedge wizard who had discovered the key to the portal of Azak but was driven out of town by magic-hating villagers before I could see if it worked."
"I want to play a thug who was set up by a rival in the guild and only just escaped with my life, swearing revenge."
"I want to play a drug addict who can only get the fix he needs off certain types of demons which he summons with a crystal shard."
"I want to play an outlander warrior banished from his lands by the elders who have been corrupted by foul magics and who seeks the holy place where the evil can be reversed."
And then your job as GM is to ask lots more questions. Do you know what the portal of Azak does? Who lead the villagers against you? What was the job you were on when you were betrayed? By who? How did you escape? Where did you get the crystal shard? How did you learn it summoned demons? What do you need to do in the Holy Place? What corrupted the elders? How did they change?
As that happens people will start to see how these things might align or conflct and then you have situation in which the players know their roles and their goals. So then you go through procedural character creation - you'll already have the some goals, beliefs and instincts down from the discussion about character. I'd go four lifepaths for strong characters.
Then you begin with a scene with a characters or two. The hedge wizard has asked around this dusty dead-end town to hire someone to protect him to return to the portal - and the thug and warrior both show up for the same job. What's the wizard willing to offer? What do the thug or warrior want in return... and you're up and running.
I say it over and over again, but the key element in this kind of play is the players. You need players who want to play, not players who want to hunt for the GM plot. If all they've every done is follow GM plot, they'll be lost and confused for a while. If so, you have to resist the temptation to fill the void. Frame conflicts, create tension, set stakes, roll dice, mediate outcomes which lead everyone to the next conflict. If needed reset the game, restate that you're all playing to find out happens, you're not running the show, and start over.