A character, with a problem, in a place.
How and where to put setting into an opening can be tricky. Luckily, there are a lot of ways to do it, and none of them are better or worse than another.
Is your character alone? That's a choice, not something that has to be set in stone. Whether that character is alone or with someone or in a crowd (again, alone in a crowd or socializing) is entirely up to you and what makes you most inspired. If the character is with others, they don't necessarily have to talk. Again, that's a choice. The less you take for granted, the more options you have. As you narrow your options, the closer you'll be to being able to start writing that scene.
Here are some more choices and ways to think about how to incorporate setting into your opening:
Is the setting active, dynamic, passive, quiet, noisy ….
How can your character interact with their setting? Right now our wide-screen TV is on and I find it really distracting, so I'm wearing headphones and listening to Delerium while I type at my dining table surrounded by seedlings in starter pots and the petals of old roses slowly dying in a crystal vase. In that one sentence you now know quite a bit about my environment, how I'm interacting with it, and a little about the sort of person I am. There's also the hint that there must be someone else in the room watching the TV, because otherwise I'd just go turn it off if it was annoying me. Just think of what can be accomplished with two sentences, all the while having the character doing something instead of forcing you as the author to describe it in a big chunk of exposition. If you've read my work you know I have passages of pure description. They're not innately evil. It's a choice. If the setting is fascinating all on its own and your prose can carry an audience, there's no reason to immediately include the character.
Is the setting important? I prefer to say yes, especially in genre fiction. If the setting can be too easily separated from the character and problem, then is there any real reason to have the story be a genre story? Keeping the mind open to possibilities keeps creativity alive. Maybe it would be better if it's not a genre story after all. Don't be afraid to explore! Anyway, in the opening scene, the ways in which the setting is important will suggest what to write about first, and how to include it in the prose. If the setting is killing the character through cold or drowning, the setting and the character will be locked in battle and it'll be pretty easy to give the readers a clear (and dynamic) picture of the environment. If the character is cozy and comfortable, then the character can interact with the setting in ways to make him or herself more comfortable and sheltered, or gather needed things for the challenge ahead. If the setting is somewhere we'll be back to again, don't rush or overstuff it into the opening. You'll have a chance to add more details in the future. If we're never coming back, there's no need to go into every detail unless something about that experience in that setting is going to connect to another part of the story later on. Okay, that may need an example. Maybe this is the last place my character sees her brother alive, skipping rocks across fast flowing water near their family's cabin on a frosty morning. If I describe the autumn colors on and within the stream and the brilliant white birch trunks seeming to be on fire from all the maple saplings growing around their feet, then later on I can yank the character back to that moment using colors or sensations he felt when they were last together.
Can you start with no interaction with the setting at all? Of course. Incorporating setting still happens through the character's powers of observation and through sensation. If you use all the senses, a setting will come alive without the character lifting a finger. I can be staring out a window while someone yells at me. I can look at what's outside, and catch the person's reflection in the glass, and maybe a shadowed reflection of me, and if I hear them pacing I can let the readers know if the floor is hardwood, tile or carpet. Do I feel trapped, or is there a lot of empty space? Does the person's voice echo? Am I afraid of being overheard? Am I in pain or anticipating pain? Is the chair comfortable–am I even sitting on a chair?–and have I been sitting so long that I'm cramping up and even the pillow over the hardwood seat is no longer protecting me from that bruised feeling on my ass?
So, what about those senses? Maybe that'll make a good post for next time.