Answer: There might be some kind of "key signature" at the beginning. That would be a group of sharps or flats laid out in advance to let you know that they'll be in use for the duration unless you hear otherwise. Anywhere from one to seven sharps or flats. If the song uses a major scale on A, for example, it will have a key signature of 3 sharps: F#, C#, and G#, because you're going to need them in order to play a melody using the A major scale. Saves time just to put them in at the outset, and that also give the reader a clue about what harmonies can be expected, that is: what "key" you're in.

But sometimes one of those pitches might be altered. And if that happens on the first note it will need a natural to let you know.

A melody sometimes will use a note or two that is not in the current scale - if it's a note that would be sharped in the key signature but the writer wants it lowered, it will need a natural. If it's normally flatted and the writer wants it raised, it would need a natural. And if a note had a sharp or a flat in a previous measure it might be good to add a "precautionary accidental" - which could be a natural - just to remind the reader that this note is back to its original state:

But if the song has no key signature - no sharps and no flats showing right after the initial clef - and no previous sharps or flats on the given pitch, then it would be kind of kooky to put in a natural. See also question 91.