Put the protagonist in the context you wish him to be seen. In short stories, you do not have a lot of time to develop and reveal your character's true nature. Allow the reader to access your character straight away. For example; if you want your protagonist to be a lonely and miserable reject, do not introduce him at a party, surrounded by friends. A good short story is built around a homogeneous undertone which does its part in reflecting the theme of your story. If you play around with this too often, you confuse and bother the reader.
Establish the conflict. Unlike a novel, the short story usually describes a single moment in time, during which a single conflict or problem occurs. Start your short story by jumping straight into some kind of conflict which does its part in gripping the reader, and driving the story from beginning to end. This is not to say you need to state the conflict in the first paragraph, but start by setting the scene. There is no time for dilly-dallying. For example; if your story revolves around a car crash, start with your main character/s getting into their car, possibly with an element of doom or foreshadowing.
Create an opening question to be answered at a later time. There is one crucial element to any short story: desire. If your protagonist feels estranged from his wife, his question may be "how can we be happy again?" or, "should I leave her?" Your opener should establish the conflict or problem the protagonist is faced with, as well as the question that drives the story.
Keep it simple. When you start writing, you do not have the time or space to explore a complicated, detailed history or back story. If you start everything going with too many complications, you will struggle in finding resolutions. Focus on a couple of plot points and one or two conflicts that lead your story to its end. Short stories should be as tight as possible, and simplified to the best of your writing ability, without sacrificing quality.