Step one: Before game
Ask them what kind of goal they want. Do they want a big bad of the week to defeat? Or One a month with more time getting there? Or just to explore dungeons? Or to defend the village? Or Rob the king?
If you, as a GM, know what kind of story they want, you can more adequately plan.
Step two: decide your first encounter, still before the game.
Figure out who they are facing, and why. Figure out who they're fighting, and any clues to the later bigbad.
Plot a second encounter, and clues. And a third. Expect you'll only get through one or two, but plan extras. D&D 4 is kinda slow.
Step 3: The session.
Start with a bit of backstory. Not too much. Who hired them, and how long it's been, where they are. Describe the setting of the first encounter.
Then describe the threat, and ask them what they want to do. If they draw and fight, go to combat rounds. If they talk to the bad guys, figure their responses based upon the talk and/or some skill rolls.
In combat, D&D is a boardgame. Outside of combat, it's an improvisational radioplay.
After each encounter, do your bookkeeping, and then narrate to the next. Sometimes, you'll need to do something different than planned. That's fine. Just keep it sensible, and flowing.
Anytime you get more than 1-2 minutes of silence, move to a new scene or NPC encounter within the current scene.