Finally beginning to set out for North American state capital (7)

I believe the answer is:

atlanta

I'm a little stuck... Click here to teach me more about this clue!

'state capital' is the definition.
(state capital of Georgia)

I don't understand the remainder of the clue.

(Other definitions for atlanta that I've seen before include "Site of 1996 Olympics" , "American city" , "1996 Summer Olympics venue" , "City hosting the 1996 Olympics" , "Capital city of Georgia, USA" .)

I've seen this clue in The Independent.

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