The first thing you do when you start a new game.

[Zersy]

Close The curtains.
Switch off the Lights.
Get My bed Ready.
Jump on.
Hold My controller ready.
Put the Game in.
Play.

 

[SMILEYkyle21]

read the manual and see what i can find and then go through the controls until i have them roughly memorized. then absolutely must watch all opening credits

 

[reg42]

I fiddle with the settings

 

[BehattedWanderer]

Determine the limits of freedom by trying to kill the guiding NPC who wants me to go with them to do whatever. If I can--holy shit! If not--ah well. I then find out whether it's open season on NPC's or a game where I'm a spirited little purist who loves being nice, i.e. the hero.

 

[antigodoflife]

sit through the opening credits usually

 

[Ze_Reaper_Of_Zeath]

Screw around until learn how to play it.

I second that. I save at first, then start screwing. i.e Fallout 3.