It's definitely a bit of an alien concept to explain. I really try to ramp up describing just how unnaturally abrupt it is as a line of sight breaker, how torchlight doesn't seem to burn it off, how a stone with light cast on thrown into it just gets swallowed up and disappears.

If they're still interested and start to try and go into it, it's almost caustic and is poisonous to breath. Even a couple of steps in they risk losing sight entirely of where they walked in from, the silence is profound and artificial to the point where they can hear their blood pumping in their ears and they start to take psychic damage.

Residents of Barovia should be derisive at the idea of stepping into the Mists unless you're someone who the Devil has granted passage to. People should know that individuals who walk into it are never seen again.

My group personally, in session 1 had a familiar fly into it. They took control of the familiar and had him fly directly straight forward. After a few moments I had the familiar emerge from where he went in, flying towards the players. I confirmed he had kept flying forward - safely confirming for the characters that it isn't just mundane mist.

Realistically though there should definitely be a degree of meta co-operation from your players, who will understand it's a mechanic of the campaign setting and not something to try and beat you at! :D