The help system of my desktop application contains a "first steps" tutorial to introduce the general workflow and some terms. The tutorial can be found directly in the main menu and in the help browser.
So, it should be easy to find, but still I am thinking about explicitly asking the user if he wants to see it when the application is run the first time after installing:
"Welcome to XYZ-APP. This is the first time you use this application. Do you want to read a short 'first steps' guide?" [Show 'first steps'] [Cancel]
For some users this might be helpful ("Hey, there is a tutorial. Let's go see it."). But others might just be annoyed by the interruption ("I just want to get started!", or worse "It's not my first time! I just installed it on my second machine!").