Reading the comments, I understood that what you're looking for is a way to immerse them in the story and to give them a taste of what role-playing is really about. And maybe even to encourage them to play the characters. Here's how I do it, when I come to a group with completely new players. Hopefully, it will help you a little.
Explain to them quickly and verbally what an RPG is
I usually go for something like this: "I play some RPGs, it's like reading a novel or watching a movie, but you play the hero." This is here to make sure that firstly everyone is on the same line about this activity, but also to start giving them a feel for what we're going to have in here.
If they ask some questions or whatever, this is usually the time in which I answer them.
I let them choose the type of the game
Being an improve kind of GM it comes to me quite naturally, but if you're not like me let them choose from a few possibilities. By letting them choose the story, you get 2 head starts. One is that you show them that the only limitation is their imagination. The other one is that they will be much more enthusiastic around a game that lies within their preferred genre.
Let's take as an example a game I once GMed, so you'll be able to see how I approach it practically also. The game was a fantasy game, taking place during the French revolution. The players decided to be wizards during those times.
A quick character-creation cycle ensues
Nothing too fancy in here. They choose a concept, decide about a major event from their past. The basics, just so they'll get a feel of playing something completely different. I, of course, help them in whatever they need. If they need some ideas I suggest to them. If they want to know if they can be someone, I say that they can…
One player decided to be a death wizard, having the ability to kill with a single touch. The second one wanted to be something like Katara from Avatar. The first was born in a faraway land and after a witch trial in England came to France. The second was a rebel teenage noble.
The game begins with something big
Start with something big, something that will catch their imaginations. Describe it with as much enthusiasm as you can. If you're enthusiastic about this, they will soon follow. Through their enthusiasm, they will create a bond with the world, thus immersing themselves into it.
You should encourage them to do something in it. Whatever they want to do. They act, and you describe what happens, and then they reply what they do, and you answer and so the cycle goes. Enthusiasm is the key. Another one is to never say no. Go with the flow, let them try things.
We opened with a huge number of people, looking at the Bastille. Someone just finished giving a speech. They're going to take the Bastille down. The Death Wizard decided to become a leader of group of people, the other decided to infiltrate the Bastille and to attack it from within.
Now a few scenes to give them a greater sense of what they can do
Nothing much to say in here. Go with the follow, continue from their actions in the first scene, and never say no.
the first one led the people to the left side of the Bastille and had a short and bloody fight with the guards. The other one entered and created havoc and chaos after freeing the prisoners and freezing the main hall. After that they went to the palace and locked the royal family in the Bastille. Then they made themselves the new queens of France.
Now you add a little twist
Every story has a twist, and so does this one. This will give them a greater sense that this is a real and great story, and as such they will be even more immersed within the story. They may even talk about the twist in later days if done right.
Continuing from where we left off with the example, Napoleon came. Seeing that he is not powerful enough, he freed the royal family, rounded some nobles and still loyal commoners, and decided to attack the queens.
The finish scene should be the most memorable one
This will give them their lasting impression. If it was good, they will remember the activity as good, and as such may come back to playing the game, devoting more energy next times and so on.
A huge battle took place near some famous locations in Paris. The city was destroyed, the locations taking severe hits. The descriptions in the battle were epic, at times it felt hopeless, but they won. The city is theirs, France is theirs.
Addendum, or why you should never say no
This game is a one shot, so there are no consequences. As such, your main goal is to create an epic story, but more than that, to give them an epic memory. The way to do it is by being as much enthusiastic as thy can, but also to let them add as much to the story as you can. If you'll do that, and they'll see that their actions do affect the story, they will be even more proactive, thus leaning more and more toward your goal.