Some tabletop games require to do some if not all improvisation of the location or setting. This is not always the case and if the game you are playing has its own setting make sure that you are very familiar with the rules before you consider deviating from the standard. Most games that require you to come up with a world also have some suggestions for building the world. If this is the case with your game for your first shot at world building use the suggestions. Take a look at what you expect to do as far as objectives in the game and be sure to color in the areas that the group will contact with and make sure to flesh out those areas.
Give your world an interesting government, or maybe no government at all. This however is not the secret to great world building. Making and having interesting characters is the cornerstone of any world you build. Also remember to keep things consistent. If you make interesting enough characters then it will only take a nudge to get your group off on an adventure. Give them interesting traits, goals, and try to give them an interesting history. But NEVER, NEVER, NEVER let all of the other characters outshine the group. Its okay to have a couple overpowered "Gandalf" characters but they should be few and far between and their interactions with the party should be very limited. Also don't use a "DMPC". A DMPC is a character that does everything. Oh? A hidden switch? he found it. What class/race is he? hes a half dragon, half celestial paragon mind flayer. Don't ever make that character. If you need to pat your ego do it in much better ways. If you must have an over powered character have it be one of the players. Lastly Don't try to "tell a story" Let your group carve out their own action and make the world feel wide open. Following these basic tips and world building strategies will take you farther up the path of presenting an fun and engaging game!