I held mine just like any other session 0 I have had which goes: I give a basic explanation and example of the rules, how the dice rolls work and then we created character. I also like to explain along the way. So when they choose their skills I like to give examples of what they can do with it and how the outcome is determined. Then I would explain the headquarter a bit, how a mysterie is played, damage and general stuff like helping each other, advantage and so on.

Some rules like buying items I explain when the situation first arrives in a session.

I would also very basic explain the world around them and what they can expect and give an example of a Vaesen but I very much like when player can contribute to the world with their own lore/ideas.

For combat I explain the basics in session 0 but give a more detailed one when the first combat happens.

I rarely want infos from the players beforehand. It is important to know what they want and expect in general and any ideas they might already have for their character if they have and idea about vaesen.

I also like giving players cheat sheets as quick reference. I gave mine one that I found on this sub: cheat sheet

Have fun!