This rule, like most others, has so many notable exceptions that it's almost useless.
The core of truth behind it is that starting a novel like so:
"Well maybe we can go next week," Susan said. "Bob will be there too then, and we can go to the Verluccis' for dinner and maybe spend a day at the zoo. Oh, and Tammi aced her exams, by the way."
can be risky, because A. We don't know who the hell Susan is, who Bob or the Verluccis are, or who Tammi is. This sentence is name soup, and we don't care at all about any of these people yet.
B. We have no context for the conversation (is Susan at party with the person she's talking to, or maybe on the phone, walking in the park, at work, driving in a car, or in a spaceship, or an oxcart traversing a fantasy city, or what)?
C. And geez, it's rather boring and mundane. Mundane conversations can be interesting later on in a story, when we know and care about the characters, but it's rather risky early on. Some movies can do it, but that's because they have a cool technique at their disposal--putting two or more people having a mundane conversation in a situation that the viewer can immediately tell is anything but mundane.
If you're going to have dialog in the very first sentence, it should probably be short, pithy, attention grabbing, and immediately segue into something that provides context.
And you'd better be really, really good at writing dialog.