After watching the introductory movie, you start the game with Zidane, aboard the Prima Vista. Zidane is in a dark room. If you investigate the north end of the room a little before lighting the candle in the middle, you can find some useful items with which to begin the game. (left side 47 gil, right side a potion) there's also a plaque about the ship you can read.
Once you're ready, go back to the center of the room and light the candle. You will have a chance to change Zidane's name, and a few other characters come out to join you. Once your party is formed, a masked man attacks.
|HP: 160, Steal: Potion, Wrist, Mage Masher|
This battle is primarily to familiarize you with the game's battle system before things get more complicated (and the enemies more dangerous). Have all characters steal from him to receive a potion, Mage Masher and Wrist. Once you've got those two valuable items, switch everyone to attack. Use a potion if needed, but you should just need normal attacks to unmask and defeat him.
After the fight, you'll meet with the members of your party and talk to Baku. After reviewing the plan of action, he will ask you a question, and you will have two options for answering it. The second option takes you to another movie.