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I'm a new player and I'm wondering where I need to go next. Or what mission do you have to go on? The game doesn't have any hints or anything?

i think because its a demo they dont have a actual storyline yet more like a sort of roam the two areas and collect stuff to build or enhance(?) or you can let yourself be F***ed by the enemies if you wish. Theres a area you can go to just to view the enemies doing so to you

Sorry that there are no story / tutorial in the game so far.
However there is a help page that you can find it by pressing ESC to open menu.
There will be some tips for you about how to play the game.