well, you need to start with a setting, so here are some choices...
Forgotten Realms! there are no other setting!
tons of history and flavor! nothing compares with Realms!...er..um.

there are plenty of other settings with worldbooks on the market. Scarred Lands, Kalamar, i'm sure people who know more about these settings (and others) could pop in and give a plug for their favorite.
you could also create a world of your own. there's plenty of rules for this in the DMG.
you could even include your players in on the creation of your setting.
if none of these appeal to you, keep your game totally generic (bear with me on this). 1) create a (relatively) small area that all the PCs will be from (a town, kingdom, region, etc.). describe it as much or as little as you wish (you could also 'borrow' a region from any other source - worldbook, homebrew website, etc.)
2) between yourself
and the players, discuss why the adventuring group they're going to create is together. if noone comes up with anything good, you could give them the reason (they're all hired by the same person, they meet in a bar, whatever.)
3) create characters from the PH (it may be too confusing for new players to have every class or race from all the books you have to choose from)
4) as far as adventuring, start small. keep them in their home land for now. as they start to travel, you can develop more areas as needed. --they don't need to know about the entire world in the beginning, and neither do you
this would take away some of the pressure to establish an entire world (and the time and effort required)
OR, buy the first WotC 3e mod, Sunless Citadel and run it for your players. if they enjoy it, continue with the entire series
just a few ideas
