Entering Luxembourg from non schengen country

Hi everyone,

I'm applying Schengen 'D' visa (long permit) in India to work in Luxembourg. I got the necessary approvals for applying the visa. I'm not sure if I will get a visa that states "ETATS SCHENGEN" or just LUXEMBOURG. To submit my application, I need to provide the one-way flight ticket to Luxembourg. But I couldn't find any direct flights to Luxembourg from Asia or Middle east. It seems I must reach some European country (Schengen country) before I can transfer to Luxembourg. So I would like to know if its ok to land in any Schengen country for the first time immigration ?

I believe I'm not the first to face this dilemma.  If someone has any suggestions or answers to these, please reply. Thanks in Advance.

regards
Balu