Capital that is sunk in key venture at first (4)
I believe the answer is:
kiev
'capital' is the definition.
(Kiev is an example)
'that is sunk in key venture at first' is the wordplay.
'that is' becomes 'ie' ('i.e.' can be a synonym of 'that is').
'sunk in' means one lot of letters goes inside another.
'at first' says to take the initial letters.
The first letters of 'key venture' is 'kv'.
'ie' put within 'kv' is 'KIEV'.
(Other definitions for kiev that I've seen before include "Ukrainian city" , "Ukraine's capital - way of cooking chicken" , "FC Dynamo/chicken ___" , "Capital city of the Ukraine" , "place in eastern Europe" .)