Every DM is different. If you are good on your feet and take naturally to story creation, minimal prep is necessary and you pull almost everything out of the air. I learned I need prep, but too much prep for me leads to me wanting to railroad. So, sketches of what might be rather than what the players will do.
For instance, when I was brand new to DMing, first game I ran, I didn't prepare enough and I had a session of climbing over the mountains with every encounter the party ran into was just a bear. It was horrifically boring.
The next time we played, seeing the error of my way, I built a great story thread. It was detailed, it had intrigue it has hooks for both players. The problem was, players don't do what you expect. The first thing the players did was sneak up on the quest giver and mug him. I hadn't planned on that. I didn't know how to adapt. Sadly, more bears ensued.
Some good things you might want to prepare are:
A Main Arc
Even in a sandbox game, you'll want to define overarching goals. It isn't I want them to do A, then B, then C, etc. But it is more along the lines of, "At some point they will run into the NPC Zed. He'll tell them a rumor about a cave that has spatula of power. They will need the spatula of power if they want to defeat Argust the Grand." Now, they can choose to pass all of that up for large swaths of time, but have a main arc. The players can choose to ignore the main arc (like you can do in Skyrim), and a new main story line may emerge but have a arc in case.
Also, build a few one shot like story lines to throw at them in the case of a "stall" in the game. The party has completed a arc or part of an arc, and doesn't want to move on to the next big thing yet, but also seems to be floundering around town fighting over what to do next, and there is a lot of time left in the session. You grab them with an immediate event that requires quick action and leads to a short dungeon. "While your arguing you hear shouts from the wall of the city, guards are lining up on the wall and firing down at something. You hear a loud roar as flame comes licking up the wall and takes down a guard." Or "while you are arguing at the pub, about what to do next, a man at the next table approaches and asks if you can help him with a problem..."
Some of these are just an encounter, others can be a single dungeon, others might be the beginning of longer story lines. And if you don't use them, they aren't wasted, keep them in your back pocket for another session or another game.
If you have had a session 0, the players emailed you a backstory, you've done character creation individually with the players, or the like... You can begin to weave their stories into your world. One fun thing to do is to tie thier back stories together. Maybe the guy who killed the rogue's parents came from the town that wizard is from. If there aren't backstories yet, you don't need them.
Also, in a sandbox game, it is helpful to have some (but certianly not all) NPCs in the town fairly flushed out even if you don't expect the players to interact with them. It is useful for when a player (who has no goat) randomly says, "I want to buy a harness for a goat." Or, "Is there anywhere to bet on fights in this town?" Certainly, there will be lots of times when you have to create an NPC on the spot, but it is nice to have some interesting and developed characters for the characters to stumble into.
A lot of first sessions are one shot "warm ups" to let the players interact, learn the team's dynamic, etc. They also tend to be less open ended than later sessions, just so that everyone gets used to DM style and the game -- especially if there are new players.