Your first mission isn't really a mission, but a brief tutorial of game. Through several on-screen instructions, you'll learn what your character, Wayne, is all about: you'll learn how to manage his health, use his special Bionic Commando-like move, and perform rudimentary evasive moves. Follow Commander Garrett around the city, shooting the flying Akrids and collecting their energy cells. Remember, don't let your ever-decreasing health bar drop to zero...otherwise you'll drop dead. Look for a Delta Post to refill your health, or pick up the energy cells dropped by a fallen enemy.
Check it out at OCModShop.