There are two kinds of users. Those who want to understand how the darn thing works up front before they start playing with the application and those who expect to start the darn work as soon as possible.
For the latter vendors prepare sometimes something like a quick start scenario. Some predefined settings which allow avoiding long and dull configuration process. Computer games are a great example. Very often you can choose to set every detail of your character/team/environment by yourself or you can choose among one of predefined sets.
There are great examples in different areas too. Our financial and accounting application has test database installed by default. People can check how it works on test data without affecting production database.
Of course quick starts aren’t applicable in every application – usually they are useful whenever some pre-configuration must be made by the user. However this kind of approach you can find even in Internet Explorer with predefined list of favorites.
Whole usability issues series.

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{ 1 comment… read it below or add one }
You are so right. We also had this problem with a product of ours: RationalPlan project management software. When developing it we created a project management short guide for those users without to much experience or for those that do not read to much the help. I am curios if this guide helped them even a bit…
If interested you can try it and maybe even give us your feedback:
http://www.rationalplan.com