When I was taught how to play, we rolled up characters very first thing and then our GM had us go through a training session - like a tutorial at the beginning of a video game. We learned how to roll which dice and when and what numbers you add together by doing things like climbing walls, convincing a goblin to let us pass (or fight him), etc...
I did something similar when teaching a group how to play 4E. I told them up front I wanted to run campaign X, but that I would run 6 sessions of mini-campaign Y to let them learn how the game works. This allowed everyone to make a character and get a feel for the game before diving into the real thing.
Mechanically, I ran mini-campaign from 1-3, then the main campaign started at 3 with new characters.
So here is the framework:
arrive at the city
get mission from Captain of the Guard
So what should I have in between those perimeters (exlcuding combat) to make the players involved and paying attention?
How I'd do it, from start to finish:
1) Very, VERY brief description of part of the world they're in. If it takes you more than a sentence or two, you're running too long. Answer any questions the players have.
2) Make characters. Answer any new world questions that come up while they are making characters.
3) Land on the docks, escort to the captain. Alternatively, just start with them standing in front of the captain waiting to get the mission. Be prepared for players to do something unexpected. If you can find a way to spin said unexpected action into being the reason they meet the captain, so much the better.
4) Run the game. Answer questions as they come up, and tell them what sorts of info they would have from common knowledge.