Grab that game ASAP. Its great. I wish Contra Rebirth and the PS2 era games were re released as well. Konami should release a volume 2 of the Contra collection.
It is hard! But the secret is to play the non-arcade mode (story mode?). In non-arcade mode you get to continuously upgrade your character (health, weapons etc) and those upgrades are carried over into new games. Athough you still have to die a lot, the game get progressively easier as your skills and stats increase.