There’s a difference between the first thing that happens in your story and the thing that becomes the inciting incident.
Write a story in which your main character is going along doing whatever it is he/she does. Very quickly, someone else walks into the scene. This person imparts news of great importance to the character (someone is dead/has been fired/is coming/has escaped/something).
NOW write the inciting incident: The inciting incident is the thing that makes it impossible for your character to go back to doing whatever it is he/she was doing before.
It might be a threat. It might be a question. It might be something he/she sees and decides they must act upon (e. g. The newcomer leaves but, on the way out, drops a vital piece of evidence. Your character hesitates but, because they are secretly a hero, pick up the evidence and plunge after their friend, and on into the mystery).
After this point there is no giving up until the story is resolved one way or another.
As pointed out in this excellent article, the inciting incident, especially in a short story, doesn’t have to happen ‘on screen’ — it might have happened before the story starts. But that’s getting fancy. You might want to keep everything in order for now.