Act 1: C1 - Welcome to Delta
You can start by choosing training or to skip ahead. If your first game, choose the training of course. There is the first collectible as you move up the road, it's a newspaper in the middle of the street.
You learn to move, check your objectives, take cover (A button and then move the LS to have different "jump out" moves), you learn to fire, aim and fire, switch guns, and hopefully you pay attention to the active reload feature. To reload to the most benefit, press RB, then as the slider is moving down, try to press RB again when it's in the shaded area to reload quicker; hit the tiny white sliver and you'll reload in a snap and have stronger bullets for a bit. If you miss the sliver and the shaded area and still try to active reload, your gun will jam for a few seconds, so learn to hit it at the right time. Hold A to run, called Roadie Run.
Then you'll look at something (Y) before you climb over a barricade; you just take cover, move the LS up, and then press A again. X is your "pick up and open" button. Grab the grenades, of which you can carry 4 at a time and each pick up has 2, and then toss one into the building when the Wretch appears. After the rook messes up, revive him and Dom with the X button.
Press B to use the chainsaw on the boards in your path, then go up. In the corner is some ammo, then take the ladder out. Go right for a paper in a desk, then come back and down the road. The scene ends the training - much shorter than the first game's.