Start with this dialogue: “I can’t find it.”
Have only one character to start with. He or she will respond to imagined comments made by someone else not really present. Perhaps you will want someone to overhear this conversation, maybe the person imagined to be responding. In any case, let the one character carry both sides of the conversation until you feel that the situation has been fleshed out.
Remember not to let your characters answer any questions directly unless the question is important. See my post on 3/7/12 (How to write good dialogue) for more ways to make dialogue have a natural feel.
