When doing so myself, I would grab the player's handbook, and make them a character to start with.

Ask them what archetype they want the character to fit-Warrior, Archer, Sneak, Mage, so on-then build a basic version of that. Put them through a fairly simple scenario, preferably one that draws on the character's out-of-combat skills, and generally ease them into what the character is capable of.

As a disclaimer, I haven't yet done a great job after 'build them a character', so take it with whatever amount of salt you find appropriate.