Outline the theme of the story. Take the idea you would like to develop, and transform it into a story. Map out the beginning, middle and end. The story opens with an idea that develops in the middle sections, and the end of the story creates a resolution. Decide what you want to convey, and how you want the story to end. This will help you decipher what characters are needed, the location and the actual plot.
Choose a writing method. You can begin directly or indirectly. The direct method introduces an action that will propel forward into the following sections, while the indirect method begins with a description of the entire exposition, before expressing the action or plot. Either method is effective, it merely depends on the preference of the writer and their style.
Begin with an action, if you are writing in the direct method. In one sentence you will explain what is happening in the story at that moment, without teasing the reader. Hint at the theme of the story. This is the idea that connects the entire story that will not be explained until the end. Introduce the characters involved with the stated action, and their relationship to the narrator. Describe the setting, where in the world and the exact location, such as a restaurant. Any combination of the above is an effective exposition, and varies by your preference.
Suggest the plot, if you are writing indirectly. This method of writing allows you to entice the reader with the unknown. The difference is that you must reveal the theme in the opening paragraphs to tell the reader why they should care. Describe the characters, and the setting. Any combination of the above is effective. An effective indirect writer will tell enough with foreshadowing to attract, without giving away the plot. This method is much more difficult, as it requires the writer to be subtle, while impressing the reader.