At the start of Mass Effect 2 you have a couple of choices. You can either import a character from Mass Effect 1 (you can change their look and class shortly, and abilities have all been reset – the main purpose of importing is to keep the decisions that you made in the first game present in the universe of Mass Effect 2), or create an all new character. You will be asked certain questions later as if you did have a character from the first game, and your answers will determine certain factors of the galaxy.
So pick either Male, Female, or Import ME1 Character to continue. You then have the ability to set up the Options menu, and it's recommended that you pick the Normal difficulty if you are on your first play through. As for 'Auto Level Up', this is ideal for those gamers hoping for an action game rather than a RPG, as it removes much of the micro-management (although it is negligible to begin with).More useful is the setting to have your squad use their own powers automatically – with this off, you need to deploy their abilities yourself, which can be difficult in the heat of battle. Subtitles are also recommended as it means you do not have to wait for the speech to finish to get to the next scene and can just read the text – if you want a slightly less immersive experience.
You can then check up on your character's details, if imported, or set them up yourself if it's a new character – you then have your first epic cut scene of the game.
The Normandy is shot down by an unknown vessel, and a mysterious character speaks of how crucial it is to save Shepard's life.