Being a Russian teacher, I never start with alphabet and pronunciation (although they´re also important), but with new common phrases (normally personal information, like introducing oneself, age, profession, etc). New languages are normally learned to be able to communicate with somebody, and personal information seems to be a good topic to start with. Of course, it´s important to know how they´re pronounced. The main reason for that when a student knows how to communicate correctly from the beginning, it makes his (her) life easier in the future, he (she) is already sure he (she) can say some useful stuff. In this way, the learning process isn´t so frustrating and it´s just fun!
If you´re a self-learner, I would recommend you to learn a pair of useful expressions everyday. They can be learned by heart first, without knowing their grammar content. But note that it´s extremely important to know their pronunciation and their exact place in speech.
Another important tip: make sure all the new words you learn have a context, a common phrase they can be used with.
Yulia Amlinskaya, Russian Language Teacher.