where was i supposed to go then?
Where you spawn depending of your chosen character you will find some stuff and there are two or three bots waiting for you to recruit. They will respawn after a while if you need more. Use F or RightShoulder to toggle them to stay/Follow, maintain F or Right Soulder to tell them to advance. Escape menu will let you choose a weapon for them.
You can upgrade one skill also (escape menu).
Then you could dispatch waves in town (easier) to find better gun if you need.
Finally you can test your skill underground. But there you must use everything you got. And certainly not go alone until I implement sneaky mechanic.
Also have a rest in your spawning place (bed) it will restore your stamina and gives tips.