Cold start dry starts and stalls

Every time I start my car from a cold start, It is always a dry start. It worries me. I'm using 15w-40, thinking of switching to 10w-30 for winter months. Could it possibly be the oil I am using? What are the most common reasons for dry starts?

Along with dry starts my first crank the engine hesitates then stalls. What could be some possibilities for that? New fuel filter?

EDIT: I'm retarded the car does not stall on start up, the car will stall after the car has been heated to operating temp, after the car cools back down to almost a cold start, it will then stall on start-up.