You wanna start the game, it will prompt you to press any button. Just be sure not to press the power button on your PC.
After this, you wanna head over to 'New Game', just click through the menus until the game starts.

You'll be greeted by the 'Chapter 1' screen. You're very close to meeting god.

This part is very simple. As soon as the 'Chapter 1' screen is over, you'll be greeted by a cutscene. The cutscene actually opens with God himself, in this game referred to as 'Akiyama Shun'. This seems to be a mistranslation on SEGA's part, since he really is God in the Yakuza universe.

You can actually play as God if you watch or skip through the cutscene, if you can manage to get yourself together after having your eyes blessed by his image. He has some fun kicks and stuff, I guess.