Soon after launching your first satellite, you will be taken to the Geoscape to scan for activity. This should bring you to your first interceptor "mission" which simply shows your Interceptor ship chasing down a UFO. Pressing A allows you to shoot it down and for the achievement to pop. Pretty easy and comes naturally in the course of the early learning stages of the game. Also, after the achievement pops, you will be taken back to the control room where you are greeted with much applause...almost as nice as the sound of "achievement unlocked".