I'm in the middle of Cairo Station. Frankly, it isn't fun in the slightest. Elites are near impossible to take down, owing to the fact that they can kill you in one burst, immediately run into cover when they get shot and take more than an entire BR clip to just knock out their shields. Unless you are using a pistol+plasma pistol dual wield you won't be able to knock out their shields and headshot them before they can get to cover. AND THIS IS THE FIRST MISSION.
Thoughts/help?
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It's very possible, just hard. When I played it on Xbox in my youth I remember the mission where you needed to find an LZ for Sgt. Johnson to land and you get Instakilled by the Jackal 2.0 snipers