Hello there,
You can start with easy first, it is not that easy after all..it is x-division easy.
From your description I can tell that you have encountered Ceasans on your first mission - they carry shields, so you have to either hit them from behind or just wear the shields down (about 200hp, but I might be wrong, someone will probably correct me here). Also the alien-like beasts are very vulnerable to fire/laser, but resistant to ballistic - initially they might be hard, but later on they are a piece of cake. You would probably need to unload two heavy machinegun burst at them or throw some grenades.
There are many tactics you can use, you will learn quite quickly, although AI is really good and can be unpredictable. You can watch some videos on Youtube, Phoenix does a thorough play-through and he is very good at it.
Since you have asked, I can share my initial tactics here - I do not bother with any other weapons initially other then shield/pistol and machineguns. Why? Machineguns can suppress the enemy and the shield can take some punishment - just suppress the enemy (you do not even have to hit it) and advance with shields while throwing smoke grenades. Once in range, charge the enemy and unleash machinegun bursts - at front, a Ceasean will loose the shield at first point-blank burst and the second will kill him easily. Do not overuse missile launchers, as you will destroy the loot from the enemies.
After you get the Hunter car, things get much easier, but remember - smoke grenades are your friends! And secondly - this is not X-COM - even with Long War, this mod is much harder.
Obviously, this is just my tactics - my younger bro uses all kinds of weapons and uses a lot of crouching/sniping/etc - it just depends on your playstyle ( I basically charge the enemy...).
Good luck!