You could really try playing it on Easy from start, if you're having trouble on Hard or even Normal (the game can be brutal on Insane, so never mind that one for now).
Back when I first played GUN a few years ago, I did start on Easy and I think it's a good way to learn the ropes; it gets... well, pretty easy, at times, but at least enemies aren't bullet sponges and they don't one- or two-shoot you, like they definitely do on Hard -- which is a PITA, considering how many times you'll find yourself surrounded by foes. The game is pretty short, it took me 13 hours to 100% and unlock the additional bonus content on Normal, but the main story can be probably beaten in 4-6 hours, if you forego all side quests and stick to the story line. Mind you, this also makes the game a bit harder, since you won't be getting as much money without the side quests, and you won't be able to fully upgrade your gear. So, considering this, it's probably worth it to try it on Easy and ramp up the difficulty when you're more used to the way the game works.
There's also the possibility you just won't like the game, and that's absolutely fine; I'm not here to try selling it to you, different people will always enjoy different stuff. It's still pretty crappy when we spend money on a game we end up not liking, though...
After about three hours my skills and gear started getting noticeably better, as well as the missions. The first few hours really are turds. :P Loving all the fort stuff and even the stealth which I normally hate. Basically, a great game if you can endure a shit beginning.