Updated with comments from feedback.
First, play on Cadet level - you're basically a bullet sponge :)
If you play the game thru, you can't replay the very first mission.
[EDIT: It looks like you CAN play the first mission after completing the game]
So the best way is to go the Missions option, and select Mission IX "Trapped" and play it thru. It's very short and very easy. Just make sure you pick off a guard or two when you're fighting groups of guards, and don't be afraid to run to heal.