After you have finished watching the FMV, you will gain control of the main character, Zidane. You start off in a dark room, move Zidane to the table in the middle of the room and light the candle on the table by pressing the 'X' button. Zidane meets up with his friends and then a battle begins.
This is your first battle, and obviously it isn't going to be a hard one. In your party you have four thieves: Zidane, Marcus, Cinna and Blank. Thieves have the ability to steal items from enemies, this is something that you should do during each and every boss battle, steal the items from them. That should be the first thing you do with Zidane because bosses usually hold good items.
With four thieves in your party, looting this enemy is easy, just continue using the steal command until you get a message saying that the enemy doesn't have any items. If you receive a message saying "Could not steal from the enemy", this means that the enemy still has items but you were unable to steal from them, just keep trying.
Now back to the battle, just continue attacking the enemy until the battle ends. He doesn't do a lot of damage and continuously misses.
Once the battle is over the identity of the masked man will be revealed. It's Baku, Zidane's boss and leader of the Tantulus group that Zidane is a part of. Baku will then proceed to explain the latest project, capturing Princess Garnet.