Ummm...some people just take them to a commercial laundry for that first washing. you could also "brush" it with a stiff brush to loosen the threads and then give it a good shaking outside. I usually take my throw rugs outside and bang them against this huge silver maple trunk I have in the yard.
I have no idea if my washer has a lint filter. I put one at the end of the hose where it empties into my laundry tub. I will have to look at the manual.