previous post, you should always begin with a module. For Burning Wheel, that means running "The Sword", a simple one-scene scenario meant to introduce the basics of the game.
The situation is a familiar one, how to split the loot, namely, a sword that all of the players have beliefs about. You can find it here, along with each of the characters here, here, here, and here. Side note: if you've been paying attention you have everything you need to take Burning Wheel for a spin between the free "Hub and Spokes" PDF and this adventure.
Aside from the obvious reasons why you should begin with the demo scenario, a major one is simply that creating characters in Burning Wheel is a lengthy process. There are no classes, no obvious builds, no way to game the system. It's all about concept and representing that concept within the rules. Since this will all be alien to new players, I find it's best to front-load the character creation session with "The Sword" so that players will better understand the ramifications of their decisions.
After you've played through this scenario, start talking about what you liked. What did the system do that interests you? What do you want to see more of? Keep talking and asking questions. Eventually you will have enough that you and the group can move into building a situation that you're all ready to explore. The most important step at this stage is concept. What kind of game do you want to play? What kind of character do you want play?