Not much, depending on how unusual it is. If it's the standard medieval-fantasy world, just state so, and that's probably enough.
You can provide most information as you go (as players encounter certain situations).
Anything unusual (firearms, aliens, etc.) would need to be mentioned. Also, explain the power difference: What's your group's rank on the world's pecking order, who's in charge? What major unusual hazards (natural/monsters, government/political) exist?
"Kind of standard fantasy world but not following the D&D books, you're a beginning group of adventurers and probably shouldn't pick any big fights. You could deal with a single bandit but stand no chance against a larger group. The land is ruled by a run of the mill king, who does care a bit about the realm and a bit about himself like most, and the long time it takes for messages to get through mean that the local rulers have significant leeway."
or
"You're in a steampunk world, steam-powered guns are common. A major war is ongoing between faction 1 and faction 2, but you're nowhere near the front. Hungry dragons occasionally swoop In and eat everyone in a city." (More detail would likely be needed here)
Most importantly, don't negatively surprise the players. Provide the information they need before they need it. If your players find some bandit camp with two weak guys that they can easily deal with, but the bandits are actually part of a globe-spanning cartel and fighting them will cause the party to be hunted to death by the cartel, that information (which obviously would be known to anyone in that world) needs to be revealed when they encounter the bandits (at the latest), not after they've slaughtered them.