The thing that newbie should be careful about in Zero 1 is quitting the mission after you die or run out of life.
If you quit, the mission WILL disappear permanently unless you load a save, so never touch the quit button, only load
Also, another helpful thing for anyone playing Megaman Zero 1 for the first time:
Don't stress over rank. It's useful for exactly one thing: getting past this door to grab this little goober.
That's it.
(A/S-rank also adds an extra move to the bosses' repertoire. Careful!)