Many of us eventually learn about the sprint zero concept in Scrum. It arrives when a team is experienced in agile, but is starting something new and realizes that the end of the first sprint probably doesn't warrant a demonstrable / releasable product. There are a lot of ideas on this and it's not really that mind-bending of an idea, it's just one of those topics that you don't learn when sitting in the Agile 101 classroom.
I simply view sprint zero as an adjustment of who the customer really is. Instead of thinking of your end users, it might be managers in the company that haven't approved the project charter or budget yet.
If you are thinking about how to approach sprint zero when you need seed money or sponsorship of some form, then your first sprint should focus on how to spend the initial funding (or getting it).
If you are earlier in the process and working through a formal relationship with a customer that requires an RFP, this can be a different set of challenges. Peter Stevens talks through his personal experience on the topic of writing agile into an RFP.
Update: Peter Stevens continued on this RFP series and has links to all the pieces here.