So one of the single most difficult parts about being a new DM is writing a story for your players to enjoy. Some do their best to work around this trouble by simply making use of pre-written adventures available (either for free or purchase) out there in the world. That is a totally viable option. There are others, though, and I count myself among them, that are very much opposed to the idea of running a game someone else has written. As the DM or GM you are the master of this world, the arbiter of fates, the master of this.. well.. Dungeon. On a less overwrought note, it's the role of the DM to be the storyteller. Everyone contributes to the story being told by controlling their characters, true, but the bulk of that burden is on you, and many people find it to be an unrewarding task if the story doesn't feel truly your own. It's like being a woodcarver who can only make chairs based on a factory template. Sure, you're carving wood, but are you really creating something? So you know you want to tell your own story, create your own world, and really put your heart and soul into it, but where to start?
First thing I'll say, is don't bother attempting to create a setting just yet, especially if you're new to it. A truly well-developed setting takes years to create, and a setting deep enough to hold up under scrutiny should take a few months at least, and your players don't want to wait for that to happen. So begin with something small, make up a finite area in which they can adventure (a kingdom, continent, even just a town and its surrounding area) and flesh it out from there. Even better, use someone else's setting for now. There's no reason that your story becomes any less inherently unique or original just because you're using Middle Earth or the setting of Star Wars. F. Scott Fitzgerald, Jane Austen, Fred D'Augiar, the list goes on; all of these authors and more have created profoundly original and memorable stories using a setting they didn't create, they used our world. So feel free to beg, borrow, and steal from whatever sources you need to create some ground to walk on.
Next comes one of the trickiest steps to writing a story to start a campaign: the plot hook. You need a reason that the characters your players brought to the table are going to follow your story, that they're going to band together and travel for months or years, risking their lives, for a cause you invented. The temptation is to force them into it, especially at first, or worse to do your best to present a completely laissez faire approach to the hook. Both are terrible ideas. The best way to start out is to make sure that every character already knows each other. This will eliminate the need to build trust among characters, and keep that aspect from slowing the initial momentum of the game. If you want to have that element of bonding to happen in-game you don't need them to all know and trust each other, but give them something uniquely in common. They're all good friends with one person, whom they owe a great debt to, or they're all members of the same order or sect and they're being collected for a task. Whatever you need to do, just make sure that the adventurers have a motivation for taking your quest and taking it together.
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Finally, the quest itself. This can be as simple, overdone, and entirely unoriginal as it needs to be. You can spend weeks developing the perfect plot, cross-referencing every source you can to make sure you're copying nothing, writing reams of notes and plans, and come to the first game with a masterpiece plot, no hair, and having lost 72 hours of sleep. Or, your players can be charged with finding a magical sword. Both are totally viable options, one takes far less initial prepwork. Trust me, if you have convincing characters, a good attitude, and a decent understanding of how to pace a game, it doesn't matter what the quest is: people will enjoy it and they will remember it.
So that brings me to my last bit of advice: Don't stress out. Take things only as seriously as you absolutely need to, and remember that this is a game for everyone at the table: that means you, too. If you're not having fun, you're doing something wrong, and it's probably got to do with how much work you're putting into the wrong parts of the game. Relax, enjoy the game, and run a kick-ass session.
