Start with a brief campaign background. And I do mean brief, a half page of material at most. It may help if the group is all familiar with the campaign setting before hand. So if everyone knows the Forgotten Realms or Medieval France or Middle Earth or Westeros or whatever, they have a general idea "where" things are, what the issues of the world are, and what their characters' options are.
Second, I'd give them an explicit choice between about 3 adventures to start off the campaign, and make sure that they know that you, as DM, really don't care which one they choose. "The princess was kidnapped, hobgoblins have been spotted on the northern border, and the caravans are hiring mercenary guards for their trip across the desert. What interests you?"
Third, have interesting places for them to explore that aren't directly tied to the events of the campaign world. Have a haunted castle, a dangerous marsh, a vortex to another world. Let them see these places from the distance. If they decide to go there, great. If not, it's their choice. Have legends of artifacts, lost heroes, lost cities, etc. that the characters can search for if they choose.
Have an information conduit, an npc sage or somesuch, that allows the pcs to get information on the campaign setting whenever they are curious. Don't fall back on knowledge checks and the like. If there's some information that would lead them to adventure that is "generally well known" tell the pcs.
Have campaign events that the pcs can respond to, but aren't campaign killers if they don't. End of the world type scenarios aren't great in sandbox settings. If the characters don't respond to the events, have later events that resolve the situation. Someone else rescues the princess. A village is sacked by the hobgoblins. The caravan is lost in the desert, etc.
Finally, the 8 most important words that should be uttered at the end of every session... "What do you want to do next time?" Keep an open dialogue with your players on what they'd like their characters to do. Talk to them about their character's goals and how they might be achieved. These can be as simple as "I want to find a magic sword" to as involved as "I want to take over the world."