There are four basic feelings you should try to evoke in your D&D or OSR players and answer to get them fully engaged in your campaign. You will need to build up to them, from the first to the last.

1. What am I Supposed to Do?

Use session zero and session one to establish what the players want out of the campaign and tailor it to those desires. Are they going to be monster bounty hunters? Explorers? Spies? Merchant traders? Everyone should know what kind of a campaign it’s going to be.

Then try to create a world that has expectations of that type of character. In every society, there are obligations and expectations put on every person, particularly if there are enemies at the gate. Your players should be thinking about how to role-play their character’s heroic duty as well as their personality. D&D 5e offers characters a “bond” tied to their background. But you can also use alignment and factions or class to create a duty for a cleric to smash evil idols or a wizard to aid the council of sorcerers or a ranger to lead an attack on the lair of their special foe.

This is often the default state for players. If they’re literally asking this question aloud, it may be because your world isn’t providing the guidance or motivation to get them asking higher-order questions.

2. What Can I Do?

Once they’re comfortable with what they are, in general, supposed to do, they’ll want to know what is possible and allowed. Show NPCs doing things that the players can also do: slaying the dragon everyone has been fearful of, contracting a ship to sail to a jungle island, being knighted, being elevated to master sorcerer, being gifted lands and titles, marrying a princess, etc.

Showing these things happening is far better than any lore dump about how things are done and what was done in the past. However, if you need to present some lore about your world’s history, including mention of some things the heroes can emulate is helpful.

When players literally ask this, they are often feeling stymied by some particular predicament. They may know what they want to do but feel powerless or directionless. Maybe you haven’t provided (or they just haven’t found) enough clues. Often some direction from NPCs such as a sage can solve this.

3. What Do I Want to Do?

Once they get a solid idea of what is possible, get your players asking themselves what they would like to do. Provide plenty of rumors about nearby ruins to explore, lairs to scour, places to see, and people to meet. These should all feel like opportunities that hint at treasures or challenges the players want.

This requires some lore, but you can’t dump it on them in piles. Most of it needs to be demonstrated: rumors in taverns, news in inns, maps shown by sages, clues found in dungeons, etc.

When players are actively asking this question, it’s usually because they understand your world and its possibilities but they aren’t yet strongly motivated to any particular action.

4. What Have I Done?

Make sure the heroes’ actions have consequences. Fire spells should catch things on fire. Opening a valve may flood the dungeon. Killing the dragon should gain them renown… but it may also prompt hobgoblins to come down out of the north to try to claim the dragon’s hunting ground. Killing a hobgoblin chieftain might bring his brother’s band for vengeance.

A judge may declare the heroes to be outlaws for a crime. The king may send them to battle frost giants, because they are great warriors. The evil cult whose temple they destroyed don’t vanish into the hills; they should become bitter enemies of the heroes. Bested rivals may spread nasty rumors. Monsters who survive their attack may return for a revenge.

When your players are literally asking this question, they’re fully experiencing a dynamic world of action-reaction and consequence. The world they inhabit has been personalized for them; they’ve formed relationships they come to cherish–both allies and enemies. This is the experience of autonomy that computer game developers strive for but only TTRPGs can truly deliver. Congratulations!