I'm eventually going to release an easier version to learn on. What I do is buy the full auto rifle from the start and use teleporting to get down to enemies quickly. If you can get 10 kills in the first level, buy grenades. Once you have grenades you can kill a lot faster. From there it's up to you, but I like the overshield because you can go for a long time since it regenerates.
Response to razor992: Sorry, you can't change weapons yet. That will be in the next version. Right now you can only use the most expensive primary and secondary weapon. All the other upgrades are independant of each other.
P.S. "E" is throw grenade.
What is wrong with the walls exactly? Several of you have mentioned it but I'm not sure what is wrong. Are you going through them? Whoever mentioned teleporting, if you teleport over a wall you are shoved to the side automatically, you shouldn't get stuck.
Response to Retrospek: I decided to exclude the arrow keys because it is almost ridiculous to try and use the space bar to teleport and number keys to use shields/grenades all with one hand since the other is on the mouse. If you can suggest a plausible way to do it, I'll add it to the next version.
Response to inaya: I've been told to do that by several people. I think I may update the game to give you half damage behind a low wall. Right now, however, it is the same.