It is apparent that you are facing multiple issues here. I will try to address them individually. But first:
Get everyone on the same page
You all evidently have different expectations of play, the game has a few levels of agreement that have to be acceptable to all players, the social contract, and choice of game, and the story of the game are just three examples.
You can use The Same Page Tool - It can help your group discuss and define what you are expecting to get out of the game, an excerpt from the link:
Functional play depends on everyone playing the same game. Sadly, many
people don’t even know or negotiate what that means, and a lot of game
texts leave crucial things out. Too often, people come with different
ideas and don’t realize it, and it turns into a mess during play.
So, this tool is designed to clear that all up before you start
playing.
After you have figured out what your expectations are - you can start thinking about what world to play your game in. There are a few options available to make it so that anyone could GM those worlds.
1. Choose a world you all know.
Choosing a world you all know (like Middle Earth, or Narnia, or even a historical period) is pretty straightforward, but you should make sure that everyone has about the same level of knowledge about that world, or that it is easily accessible.
2. Create a world together.
You can do this on your own - or you can use a cool minigame designed just for this like Dawn of Worlds which puts everyone in the role of a god-like creator taking turns designing and building a world and giving it a basic history, excerpt:
It was the product of many minds playing off one-another over the
centuries. The solution to our dilemma seemed only natural, we would
create a world together. Everyone would have a hand in it, everyone
would know its history.
We would become the gods of our own fantasy world. We would raise it
up from the meager foundations of stone and water. We would raise up
great civilizations, set them at war, guide them in science and magic,
and give them leaders. And we would do it in about six hours. From
this singular idea arose the game which you now see before you.
Once you have that - the decision of who will be the GM is something that I can propose two methods for, but I am sure others exist.
1. Choose a GM each session, and every player also has a PC
In this manner, the GM role is a "hot seat" players taking turns playing the GM and their own characters the rest of the time. This is a bit tricky if you are doing long campaigns, but for sessions of a few hours with smaller adventures this could be really fun.
2. Take turns running adventures in the same story
Every GM will play out their adventures and then switch out with another player at the end. You could also keep the PC's stories perpetual, just switching out one character and adding another they might meet on their travels - this keeps the players vested in their characters and also provides for some interesting stories.
I'm assuming your players already understand the basic concept of roleplaying.
The Ground Rules of Roleplaying
Tell your players that roleplaying is supposed to be fun. They should do what they think is fun, but they shouldn't ruin other people's fun. Forget not that the GM is also a people whose fun can be ruined.
Also explain to players that sometimes they can Decide To Act Differently.
Reasons For Roleplaying
Characters need reasons to do things. Ask your players to establish goals, and instead of (just?) rewarding them for killing monsters, reward them for accomplishing story goals.
Ask them up front what their goals are, and then tell them how much XP those goals are worth. Big rewards for big and hard to accomplish goals, small rewards for small goals. You can also allow them to divide big goals into smaller goals, because that's how you plan things.
If they need inspiration for goals, then I suggest looking at Fiasco play sets. They are a great way to give goals to characters. A bunch of them are free on DriveThruRPG, and they are largely self explanatory.
You should also require that characters have relationships to the world. Every character should have someone they want to see dead, someone they would do anything to save, and a reason for being in the party.
Reasons for being in the party can be nearly anything:
- "The rogue knows my secret, and will reveal it if I don't go along"
- "I must protect the wizard until I can repay the life debt I owe him"
- "She's my twin sister! Why the hell wouldn't I be here?"
Enemies and friends are useful to the GM, because it gives you more story hooks.
Feel free to reward characters for having good goals: "So you're in love with the mayor's daughter, and you want to impress her enough that she'll not just jump in your bed, but actually marry you? Well, you may have the Codpiece of Smooth Talking that you inherited from your uncle Don Juan Casanova, which gives you +5 to Seduction rolls. That'll help you with the daughter, but it won't help you much with her father."
Techniques for Roleplaying
If they can't think of how to play their characters, then I suggest looking at the techniques of improv. Play Unsafe by Graham Walmsley explores how improv can be used to roleplay, or you can Google for improv techniques.
I also recently found an article with 11 ways to be a better roleplayer, which your players may be interested in.
The Reward Cycle
The system you use matters, because game systems are geared towards reinforcing certain behaviour.
Typically, DnD encourages murderhobo behaviour. You kill monsters, sell the loot, buy the shinies, and then go kill more monsters. If you don't want that, then don't reward them at all for killing things. Reward them for completing story goals.
Say they're hunting for treasure in a cave - the treasure is the monetary reward, but if they can figure out a way to not murder the goblins who live in the cave, then they should still get the XP for getting to the treasure and they don't run the risk of dying.
You can also explicitly reward players for good storytelling. You can ask them things like "Is this action cinematically appropriate?" and if so, give them circumstance bonuses. "Swinging on the chandelier? +15 Swashbuckling bonus!"
If you want to show your players that storytelling is fun too, then I suggest playing Fiasco for a session or two instead.
And in conclusion
Tell your players what you expect from them. Explain the principles, then give them concrete examples.
But don't forget the rule of fun - don't force them to do things they don't think are fun, because they always have the option of just leaving. If they really want to play murderhobos... then let them!
And don't worry about it too much. Humans are naturally geared to telling stories. After all, like Terry Pratchett said:
The anthropologists got it wrong when they named our species Homo
sapiens ('wise man'). In any case it's an arrogant and bigheaded thing
to say, wisdom being one of our least evident features. In reality, we
are Pan narrans, the storytelling chimpanzee.
Best Answer
I would suggest that you don't need to do anything in particular, at least at first. Consider: