Mitchbones said:
Arcanis:
http://www.livingarcanis.com and
http://www.onaraonline.org
Do you recommend it for a new-ish DM?
Yes. Arcanis is, in my opinion, the only legitmate d20 setting that took full advantage of the d20 movement. It openly embraces a variety of other books, including Freeport and many of Green Ronin's products, Nyambe, and others. Lots of settings promise compatibility with other d20 products, few actually put that action into words and incorporate the other settings into their own. Arcanis walks the talk of d20 and thereby gives your third party d20 supplements a boost.
Should I loan out the CS before the campaign starts where the players can learn about it?
If you go with Arcanis, it's worth visiting
http://www.onaraonline.org which has a beginner's guide.
Or should they just learn about the world as we go along in the game?
If you're crafting your own world, that's not a big deal. If you're starting with a campaign setting, it depends on the characters.
For example, in my campaign, several of our players (the ones not accustomed to role-playing) were completely unfamiliar with Arcanis. So they ended up playing the following:
* A human farm boy who doesn't know much beyond his homeland.
* An abused lizardfolk who only recently escaped the slave arenas to strike out on his own.
* A catfolk from another world.
All three characters could be excused if they didn't know Arcanis, because their characters were built that way. Conversely, if you think your PCs are able to absorb the info (and in my experience, few really want to do that much work), by all means encourage them to become more knowledgable about the world and let their characters reflect that knowledge.
For more about how we handled things in my campaign, check out the story hour:
http://www.enworld.org/showthread.php?t=103252&page=1