In order to unlock this achievement, you need to complete your first Zumba Fitness World Party song.
As the achievement obviously states, you will earn this at the end of your first song. But it only appears at the summary screen, meaning that if you are deciding to play World Tour mode, you'll dance from 5-8 dances per location. This achievement will not unlock until the end of the current location you are on. Do not be anxious when you realize that for some reason you are not unlocking the achievement even though you've already completed the first dance in that playlist.