Which piece to move first? What will be your first move? Most orthodox moves are to either open up your Bishop path, or advance a Pawn in front of your Rook. Other moves are also permitted (of course!), but these two moves are the most effective and efficient first moves. Openings which start with the Bishop Path move ranges from Furi-bisha[振り飛車] to Yagura[矢倉], among others. Openings with Rook's pawn include climbing silver or Bogin[棒銀] and other strategies. By starting with Rooks' pawn, you are kind of indicating that you will be using your Rook on the 2nd column (ibisha [居飛車]strategy) and not going to use ranging rook （Furi-bisya[振り飛車] strategy) My experience is that more poeple will start with Bishop's path than Rook's Pawn, because it allows more options for strategies.
You will want to stick with either one of those two moves.
This is P-7f move. You open your Bishop's path
Shogi has only two "long range" pieces. By making P-7f move, your Bishop's range is already reaching opponents area. According to Japan Shogi Federation's statistics on 2007, 78.5% of the professional games played in that year start with this move.
This is P-2f move. You advance your Rook's pawn.
Another "long range" piece is Rook. Altough advancing the pawn by just one position will not give Rook immediate threat to the opponent camp, If he is not careful, you maybe abel to exchange this pawn with his pawn at 2c. In Shogi, the piece you have in your hand can work a long way, especially if it is a Pawn. Again, according to the statistics, 17.3% of the professional games played in 2007 started with this move.
Finally, this is less played, but nevertheless popular move (4% in 2007) in these days.
This is P-5f move. You advance your center Pawn.
With this move, you are immediately telling the world (!) that you will be swinging your rook to 5th row. This is called Naka-bisya (中飛車) or Center Rook. This strategy belongs to the ranging Rook family. I have a dedicated board to study this move in "Study Room" area. Look for "Center rook with open Bishop path Open" entry.
Now, look at the "1st Example" and "2nd Example" in the navigation bar to the right of this page to gain a little more knowledge about moves, then go to "Shogi Strategies" to see how these moves will unfold to variety of different openings.