I am only on the first mission as well, and although it can be a bit overwhelming, it gets better as you get the lay of the land. The area looks big but it really isn't. If you want to do the side missions, I would focus on those first. The main mission is not going anywhere and doing some side missions will open up the areas to you. Do note that some Optional parts of missions will disappear if you do not do them, so if you want to complete the Optional part of the mission you need to pay attention to your Missions log and do what it tells you to do to complete the Optional part of the mission.
Th best way not to get frustrated is to realize that there is no "right way" of doing anything. The game holds your hand a little at the beginning by providing you with all of the ways around obstacles, but ultimately you choose your own path and as long as you get past the obstacle alive, you've won.