how should I start the story?
This is obviously a matter of opinion, the story I would write may be far different than the story you want to write. So this is basically how I would start such a story. (All elements can be toned down for a non-adult story.)
You need to establish the little girl as your hero, which means she has to be able to overcome her fear and DO things. DOING is very important for character likability, rely less on pity (because she is a frightened little girl) and far more on a natural inclination to try something even if it fails. Think of Bruce Willis in Die Hard; a long series of failures, getting beaten, cut, bloody, burned, always just barely on the trail, he's like Wile E. Cayote vs. The Roadrunner, except he prevails in the end.
So she may be fearful when she wakes up, but she does NOT deal with fear by taking the fetal position under the covers and waiting for a ghost to force her out of it. She does not try to hide in the closet. She deals with fear by taking action; searching for her mother or father, or whatever is the last thing she remembered. If her door is closed, she will open it. If it is locked, she will try to force it. If she can't, she will try the window. If that doesn't work, she will break it with the lamp.
Her fear cannot be disabling (or never for long), it must be accompanied by determination to move forward, to open the next door even as her hand trembles in fear, she doesn't back down. It can help her likability if she has to hurt herself: Jump from a height; grab something on fire; intentionally cut herself for the blood it takes to open a magic book.
Start with her taking action, what she does will define her character, and that will lead you to the rest of the story. Her reaction will be to find out where she is, and if confined, to escape.
You start by her asserting those goals (through action) and failing to achieve them: She cannot figure out where she is (nobody answers her calls), and she cannot escape (leave the room). That first scene can be a microcosm of what the story is about: She needs to escape the house, but first she needs to escape the room.