Set up your main character in an interesting situation or mystery that gives insight into her character and grabs the audience. For example, if you are introducing a smart hostage negotiator, begin the script at the climax of a tense standoff between her and a bank robber holding people captive in order to showcase her craftiness and skill.
Demonstrate qualities in your main character that the reader can relate to. Although your protagonist does not always have to be likeable --- especially in scripts about anti-heroes --- you do need to show characteristics that appeal to the reader. In the example of the hostage negotiator, you could show her risking her life to save the hostages, which immediately demonstrates her courage and willingness to do anything to finish the job.
Establish the tone and genre of your story using vividly drawn description, language and location. If, for example, you start with a tense hostage negotiation and then your lead character begins a hilarious banter with the bank robber, you subvert the reader's expectations by establishing the script as an action-comedy instead of a thriller.
Create the dramatic situation of your story. Readers do not want to wait 20 pages to know the thrust of your screenplay, or they will lose interest. Once you have established your main character and his world, immediately show what is at stake for him by introducing the main problem of the story. For example, if you're writing a thriller about a father searching for his missing daughter, the girl must go missing shortly after you have set up the family dynamic.