After meeting Lars, head to your first checkpoint mission in the mines and answer "NOW" to start this storymission. You're still in a tutorial mode of sorts and will learn to give orders to the headbangers along the way.
There aren't really any challenges here, except not dying, something you're likely to do if you try to take on the enemies alone. Keep your headbangers around and follow the instructions.
The boss fight at the end is won by using the enviroment to your advantage, and not wildly attacking. Look at the grabs of stone on the rails above the platform, and then the trail of rubble they leave. When the boss is near this trail, hit him with a lightning strike [X] to stun him for a short while, then use Earthshaker combo [A]+[X] to open the grabs above and drop rocks on the boss. A few hits of this and he should be out.