I'm blue because I've to! (95) GS
Watch the intro without skipping it.

When you start the game you'll get a short cutscene where a scientist and his daughters are surrounded by military looking people. Watch this until you get to a screen where you pick your save file.

After you select a save file slot you'll watch another cutscene where the scientist is talking to another one of his daughters on a screen. Let this play out and at the end of it you'll be brought to the main menu and your achievement will pop.

You can hit A to speed up the dialogue a bit, but don't hit the Start button as that skips the intro