"Initially" means "at first". It's a formal word, so you use it in essays, formal speeches, and so on. "Initially" is used in phrases like these:
They initially refused to talk to the police.
It was a lot harder than I initially thought.
We initially considered staying in Denver, but neither of us was able to find a job there.
You can see that "initially" is used in front of a verb, which means that "initially" is an adverb.