UROB - it's hard to "start" with this one. It is like an epic story with lots of characters, relationships, background history. MGS4 is the "final wrap-up" and sort of expects you to know everything that is going on. In many scenes it is more like a movie ending that wraps up all the details. I'd suggest renting the previous games and playing them to see how this all goes together.
To just "have fun" go to the online area. That is TONS of fun.