You want to have a high damage output void weapon. Rocket launcher is good, heavy machine gun, etc. Honestly there are a couple of rare guns that are just as good as some legendary weapons but you want to do what you can to upgrade your weapons as soon as you can. Are you a member of a faction such as dead orbit, new monarchy, or future war cult? You typically get a weapon for ranking up with them and you can buy one when you reach rank 3.

My lock is New Monarchy. I have a pretty good rare Void FR (Arc an Fire, too - all fully upgraded). I bought Primaries first, though, basically had to buy everything but my legendary Heavies, Thorn, PI, SGA and Thunderlord, because of nothing ever dropping for me.

I seem to think the monarchy has a good void heavy machine gun but don't hold me to that I'm not in the game at the moment. I would want something with a faster fire rate than a fusion but that is better than nothing because at least it will take down the shield. I had the same problem with nothing dropping for me but I lucked out with my second guy as I had gotten an almost full legendary armor set for him and an exotic chest with my other character. I ranked him to 20 today and when I put that armor on him his rank went up to 24. It will make it easier to finish the story with him, lol. Good luck on getting those weapons. If you are on PS4 look me up, PSN is same as user here. We play almost all game modes and always looking for others.