I second the quest idea. In a bit more of a generalized sense, I suggest that the key concept is getting the player to have a plan. (Inspired by Jesse Schell's talk at D.I.C.E. Summit 2013; direct link to the part where he talks about plans.)
When players acquire or develop a plan in their mind, they'll typically be eager to execute that plan. And importantly the plan also helps know how to begin executing that plan. Anything in your game that can provide them with a plan (i.e., a quest), hint at a plan, or give them the ingredients to construct their own plan, will go a long way toward getting people into your game, and keep them playing it.
Sometimes you don't even need to be explicit. Just let them passively observe another character (player or non-player) who is executing or has executed a plan. Maybe a bit of dialogue explaining how a local crime boss rose to his position of power. Or a character talking about how he's thinking of making money, or how he tried to make money and was oh so close, but some part of his plan failed. This will put ideas into the player's mind about their own possible plans. Of course, you'd need to make sure that the hinted plans are actually executable given your game mechanics, or else it'll just confuse the player.
