Are you introducing them to an already existing group?
In that case, I would advise running a separate session for them so they can learn the feel of the game. It can be very hard to work up the courage to roleplay if you have seasoned players around you.

Are you forming a new group with them?
I assume this is the case. Depending on what system you will play, it might be a good idea to skip combat the first session. Let them get a feel of their characters and roleplay a lot, and maybe have a simple combat that makes them feel like they're being awesome.

The first impression a player gets is often the most important.

(Forgive me for any typoos or the length of my post. I am writing this while working)