I'm keen on the idea of establishing the conflict for a story within the first half-page of a short story. You should know within about three hundred words what the overarching point of the story is. I think a lot of stories do a great job of setting up character and location, but you need to start in a seriously unstable way. At least, for me, the power of the story is in the resolution of that initial problem. Until it appears, you don't have a story.
So, if it's a story about a man trying to win a massive bet, the first thing you should see is him getting deeper into debt and reaching a final 'this is it' moment.
There's a nice idea I think I heard on I Should Be Writing, and it's the idea of The Red Line Of Death.
The Red Line of Death is that line when you just think 'ah, sod it' and give up reading. Establishing the story early helps curiousity, and that staves off the Red Line of Death.