First, determine whence the character came. After all, if he's always lived around here, he's going to have a lot more information about the area than the referee might have available as play begins; he'll know and be known by some of the local people, including merchants, guards, innkeepers, and stablehands--and many who don't know him will know his family. On the other hand, if he isn't from around here, there has to be a place whence he came, and a reason why he left there.
Second, it would be valuable to explain why he is here specifically. Perhaps this is only where the boat docked, or the road ended; on the other hand, many characters will have come to this place for a reason--a mission to be accomplished, an investigation to be pursued, a rumor to be explored, even an invitation from a friend. A character who already has direction when the game begins will move into the adventure more quickly and more decisively. It is possible that the adventure is already well underway, if the referee chooses to provide players with background about what they came to explore, so this can be a valuable tool for jumpstarting the game.
Third, there may be reasons to explain the character's companions to him. He sees an elf, but does he know what an elf is? If a referee is mixing milieus, the character may be confronted by foreigners whose dress and demeanor, even race, may be alien to him. Offering suggestions as to how this is perceived may help the player understand the role better more quickly.
There is substantial information to help the referee in this regard on another web site, M. J. Young's Dungeons & Dragons Materials, where a section on The Frontier: Integration of Milieus in Advanced Dungeons & Dragons First Edition considers many of these questions and provides some answers.
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