To quote myself, from the question Are there any books that “teach” WinDbg?:
With the Visual Studio debugger, I know where I am at a given point, that is it is very easy and convenient to set it up so that the current breakpoint(sourcecode)+disassembly+call stack+local variables+... all make sense together. It's at this point that I'd need some advances WinDbg commands, but I feel I never get to the point where I feel sure enough about where I actually am in debugging the application to run any advanced commands.
With this in mind: Given binaries (or maybe a dump file), What are the first steps one needs to to in WinDbg to get a debugging session where you can actually analyze anything?
Which settings? Which windows? Which persistent environment variables? Etc.