First off, WELCOME NEW HUNTER. First things first, try out all the weapons and see what you like. There is no "best weapon" in the game. Every weapon has its strengths and weaknesses, so go into training mode and give each one a whirl. If you want a more detailed explanation on how weapons work, look up Gaijin Hunter on youtube. He showcases each weapon and what they are capable of.
Second, I recommend crafting a gathering and a crafting set as soon as possible. Both are fairly low level and the materials should be easy to get in the first hour of the game. The gathering set gives you more chances to forage for plants, berries, and mine for ore, as well as occasionally get multiples on 1 pickup. The crafting set allows you to craft items while reducing the chance of failure. It sucks when trying to craft traps or bombs and it fails and all you're left with is garbage.
Third, you're gonna get hit...a lot...so stock up on honey and potions and try to make as much mega potions and you can carry. You can go to Wyceam (sp?) and spend guild points to put some honey with him to farm so he can multiply it further. This should help out a lot as mega potions are pretty much the best early level healing item you get, until you can make max potions.
Fourth, just have fun. You are going to sink hundreds upon hundreds of hours into this game because it's just so good. Once you start feeling confident hop online, and start working on your hunter rank (HR). It's a separate rank from the story mode and it's where the real fun is, teaming up with other people.
Anyway, hope this helps.