I like to start with very short sessions, about 15 minutes maximum. I quickly check the control, straightness and direction with transitions, circles, lateral movements and so on. It allows me to already know on what we are going to work in the next months and face the difficulties we must encounter. After work, I usually go for a little ride with the horse so he ends his day with me on a happy note!
Don't overdo. A horse has to acclimatize to his new place of life first. Do easy flat work (some transitions, some circles, some direction changes and so on). Wait about a week before starting real work and jumping :)