A proactive approach works best in helping your weeks-old baby realize Santa Claus doesn't exist before they even know anything about him. Here are a few techniques:
Parade a toy Santa Claus around Baby and chop its head off. This will help Baby realize Santa is not alive.
Watch The Year Without a Santa Claus but only watch the parts before Santa decides to do Christmas again. Baby will hear everyone say Santa isn't coming and won't be surprised when Santa never comes to see them, either.
Read "'Twas the Night Before Christmas" but replace pictures of Santa with photos of other people. Switch out mentions of Santa with "Dad" or "Mom" or "Neighbor Steve."