Ok, so the Kingdom of Kingdom's first city will be Capital city, now, you need know that this game - in game time, is dated for months and years of development, each 'Kingdom' turn is a month of game time in length. It's recommended by the author but not necessary, that PCs spend around a year of game time (not necessarily real time) developing the country. Of course you being you and not someone else, can choose to ignore this and go kill things without building anything, but that goes on your necks.
So question is do you want to invest time developing your Kingdom or go kill things?