Much like the prologue, you can not avoid this one. This is mission number 1 and begins straight after the prologue. The object is to rescue an important character and it is up to you how you do it. Try stealth or shoot your way through it.
I personally mixed stealth with shooting as I was still adjusting to the controls and decided to click the left stick whilst crawling at a guard (I stood up and sprinted at him). You should have no trouble getting through this mission even if you do as bad a job as me at sneaking