If there's no save files, you will be prompted to start a save file on your memory card, after which you will be taken directly to the tutorial. If there is a save file, you will be presented with 3 save slots and a new game option. To choose one of the options, roll your ball forward like in the game.
You are thrown into a circular area with nothing in it. To pass this part, just follow the instructions on the sides. You are then given another set of commands to complete. After completion of this segment, you are taken to your first level.
Your first katamari
This is the beginner's level. Get a feel for the game, enjoy yourself, and learn how to play Katamari Damacy. You are confined to the dining room (possibly a bedroom) in this level. You start off on the table. It is actually possible to get to 10cm without leaving the table, but you gain more understanding of the game if you roll around on the floor as well. It's important to gain a feel of what you can and can't pick up because it's the key to making the largest katamaris possible.
After completion of this level you are given another short tutorial consisting of 4 animations warning you of what you can and can't do with your katamari. After this you are given the option to view the tutorial again.
You are then taken to the menu system of Katamari Damacy and should now have access to Make a Star 1.