So you've decided to play your first RPG (preferably Adventures in Oz).
Your first step is to gather your play group and decide who will be the Narrator. You can play with as few as 2 people, one player with a character and the other as the Narrator, but the optimum group is about 4-6 people to get a good mix of personalities among the players and a good mix of abilities among the characters. Larger groups can be hard to manage and may not allow for each character to have a very unique niche.
If you're the one who bought the rulebook and gathered everyone together, you have likely stuck yourself in the position of Narrator. You might be able to talk someone else into taking it on, if they are more creative, more organized, more of a leader in general, or more of an Oz nerd than you are, but don't count on it.
Once you've established who's Narrator, it's time for everyone else to create their characters. Since a character is the player's "playing piece", don't skimp on this process. Try to make character creation a group process. Even if you have one copy of the rulebook, so only one person can reference at a given time, the rest of the players can still provide ideas, and make decisions about the characters they will create once they get the book.
Creating characters for Adventures in Oz is surprisingly quick compared to other systems I've played. I typically set up the first session of any game just for character creation, to let everyone have a chance to look at the book and make adjustments as needed (GURPS, although it is one of my favorite systems, sometimes requires 1 and a half sessions to get everyone to a point where they're satisfied with their characters). Even with all the other conversations and distractions, my AiO playtest group had their characters made within an hour or two.
If you do want to speed this up, there are a couple of things you can do. You can tell your players to make their characters before the meeting. Make sure they have access to you and the rulebook. Make sure there's communication and each player knows roughly what the other players are doing.
Another thing you can do is to make up characters in advance. That way, when your players show up, they can be ready to play very quickly. Make a few more characters than you have players. That way, each player has a choice to make and won't get stuck with a character they may not like.
Once everyone is situated and satisfied with their character, you're ready to begin playing. This consists of you, The Narrator, describing the situation that the characters find themselves in. Ideally, you also give them something fairly immediate to do. This doesn't have to be exciting, adventurous stuff, but it certainly can be.
For example, you decide to start the scenario with Ozma's birthday party. You might want to take a minute to describe the festivities and who is in attendance. Then something happens that at least one character has to respond to. Maybe one of the characters is called upon to give a toast to Princess Ozma. Or maybe the Winged Monkeys fly in to ruin the party.
Now let your players respond to the situation you've presented. What sort of toast do they come up with? How do they respond to the Winged Monkeys? Do they interact with any of the other party guests?
As they're responding to your scenario, think about the actions they are describing. Do any of them make you want to say "I don't know if he can do that" or "There's no way he can do that!"? If so, find the appropriate skill and tell the player to make a skill roll (make sure you've got dice handy!). If one of the players decided to pluck one of the Monkeys out of the air, call for an Athletics roll. If someone wants to frighten them off, it's a Presence roll. If the action seems difficult, give it a penalty. If the action is fairly easy or appropriate, a bonus is suggested.
Keep this cycle going, describing how the scenario changes as a result of the characters' actions, successes, and failures, and giving them things to respond to. By the time you're done, you've got yourself an Oz story that didn't exist before, created on the fly by your group.
That wasn't so hard, now was it?