The start of a game is generally the best time to tell (or at least hint/nudge) players what to do. Being dropped off somewhere with no quests or anything in a brand new game is the sort of thing that quickly turns people off.
As the players advance and the story opens up its a lot easier to just leave them to find stuff on their own.
As the players advance and the story opens up its a lot easier to just leave them to find stuff on their own.