Mythos Card Resolution During Setup
Yes, you do as per the setup rules (page 5):

14. DRAW AND RESOLVE MYTHOS CARD
Finally, the first player draws the top card of the mythos
deck and resolves it as described in the Mythos Phase
section of the rules.
...
After the mythos card has been completely resolved, the
first turn begins, starting with the first player.


If you are beginners, you may want to forgo #14 and only apply ongoing effects of the first mythos card, rather than the active effects (such as the one you encountered).