Start with an environment that's very much under your control and one in which the players can learn their characters without going off the rails or worrying too much about interacting with the "background". One of my most consistent findings with new players is their desire to make conversation with
every single person I describe, and fiddle with/deface/steal every bit of potentially interactive scenery
How's this... the characters know each other already. They're headed for the nearest village to find a place to stay for the night, when they're approached by a tearful woman who begs for their assistance: her village has been overrun by goblins! The villagers weren't expecting it: the goblins have broken entirely with their usual practice by attacking during the day (a nice hook to come back to later is
why) and caught everyone with the gate open and their pants down.
When the party get to the village, there is only a small handful of survivors remaining (all noncombatants), and absolutely no trace of where the goblins or the other villagers went. The survivors were hiding out in the cellar of the local inn, and didn't see anything beyond the first minute or so of the initial attack before bolting for safety. They desperately need to reach the nearest town, both to warn the local garrison of this alarming change in the goblins' tactics, and to enlist assistance in tracking down their kidnapped loved ones.
They know of a secret route: there's an abandoned mine with an entrance just outside the village palisade, which leads to a cave just a mile or two from the closest town. Going aboveground over the mountains would take days - all the horses are gone - and would make the villagers very difficult to protect from the goblins in the passes. They don't think the goblins know about the mine... and they need the party to protect them while they make the trip.
If the party balk, perhaps one of the survivors has (or claims to have) a wealthy brother in town who will reward and/or equip them well if they bring the villagers through safely.
There y'go. You can make the "abandoned mine" as complex or straightforward as you want, you can populate it with whatever low-level mookery you feel like and you can give the party the thrills and spills of trying to defend the NPC's*. When they get to the other end, you can either have a more powerful NPC step in and say "Thanks very much, we'll take it from here" or you can hire the PC's to go back to the village and set up an ambush/look for clues/whatever you like.
There are enough "mystery" elements (Why did the goblins attack in the day? What happened to their tracks? Why no dead bodies, or dead horses at least?) to make this part of a larger campaign, or you can just throw it away and never return.
*Fudge. The. Fricken. Dice. Rolls. If the NPC's all die, it won't be much fun. 
