The campaign takes place in a northern, west coast, country called Varisia. There is a beautiful player friendly gazetteer in the Rise of the Runelord Player's Guide. Please at least skim it and read the sections on the Lost Coast, Magnimar, and Sandpoint. There is an expanded section on Magnimar in the Shattered Star Player's Guide. It's important because you'll be spending a lot of time in that city...
Anyway, what's going on? We are actually going to start in Sandpoint. You need to figure out why your character is there (traits). The short adventure I'll be using to get you all together as a party will also lead directly into meeting key NPCs and getting initiated into the Pathfinder Society.
The stretch of coastal land along the eastern side of the Varisian Gulf from Riddleport down to Magnimar is called the Lost Coast. You need to learn to love it...because you will need to save it!
If you really wanted to get into the flavor of the campaign, the single best supplement is the Pathfinder Player Companion: Varisia, Birthplace of Legends.