One of your first stops should be Royal Selangor Visitor Centre. Here, you'll be able to find your bearings and get some great tips before you start exploring.
You'll soon discover why this Kuala Lumpur tourist information center is a hit with travelers. If you're searching for more to see and do here, Petronas Twin Towers, Batu Caves, and Petaling Street are in this area too. They won't take you long to get to from Royal Selangor Visitor Centre.