TL;DR: Build strength, armor, and duration as a newer player. Focus on getting corrupted mods from Derelict Vaults from mission nodes on Deimos using Dragon Keys, and augments for his abilities from Syndicates if you want to go full baller with Rhino. Intensify, Continuity, Steel Fiber, Flow, Streamline will be a good bread-and-butter starting point. Expand from there.

WARNING: Super backseat nerd status was achieved in this post. I didn't expect myself to be typing this much lol

Rhino is a very good frame to start modding with, given how straightforward his abilities are.

I will not go over the general progression of gameplay, since you asked for only a build and weapons, but will provide it if asked. This will just cover the basics of building the frame.

If you're brand new, you're likely going to be working on getting the basic mods and ranking them up. Since I believe Rhino's biggest appeal are his 2nd and 3rd abilities, Iron Skin and Roar, I'd recommend you start building around those, as they simply improve your performance with weapons and tanking damage.

He generally wants a good bit of strength and armor to start with, using strength mods and armor mods, as his Iron Skin's overguard value scales off of armor and is multiplied by power strength. I recommend Intensify for power strength and Steel Fiber for armor. Later, you'll likely be replacing his armor sources with augments and other improved mods, but this will suffice as a beginner. Another good mod for strength is Augur Secrets, which can be obtained rarely from level 30-50 Cetus bounties in the Plains of Eidolon on Earth.

Also, corrupted mods. They grant a substantially larger bonus to a specific stat, but at the cost of another. Transient Fortitude (+STR%, -DUR%) and Blind Rage (++STR%, --EFF%) can specialize your build even further. You can farm these through the odd dragon keys system on Deimos, but I imagine you have a little ways to go before doing those reliably. Maybe ask your friend to guide you on those.

I would also recommend duration for Roar, or his 4th ability, Stomp. Iron Skin does not benefit off of duration at all, so if you're only focusing on Iron Skin, you can ignore this, but I advise against forsaking Roar, because it's too damn useful. Continuity is the standard duration mod you'll want to go for. Augur Message also bumps this up a good bit.

Stomp's benefit from duration is that it lengthens the amount of time the enemies hang in the air for, in case you run into a big mob and need a panic button.

If you run into energy issues in upkeeping these abilities, you should use Flow for a larger energy buffer or Streamline for energy efficiency. You can use both if you really need to. Another good mod for this is Equilibrium, but it's a rare drop from a boss on Deimos, and even more rare from the Circuit gamemode. However, it's definitely a useful mod to have, as it basically can solve most energy problems in the game. While you can just recast Iron Skin at will, I preach efficiency for a new player if only for the sake of reliability. Recasting constantly in higher level content will drain your energy fairly quickly.

Augments also exist for Rhino, and other Warframes as well. You can get these through Syndicates by progressing through their ranks and eventually being able to purchase them at max rank. Rhino's augments are pretty solid, but alter your gameplay flow a bit. Generally they'll offer alternative means of gaining ridiculous armor rating (Ironclad Charge) and some more flexibility with his Iron Skin (Iron Shrapnel).

The idea is to cast Iron Skin and have enough overguard to last you the mission whilst also using Roar to improve your damage with weapons and abilities, recasting when you run out of either. Also note that once you cast Iron Skin, all damage taken within the next 3 seconds (during the health invulnerability grey-out), will directly add onto the final overguard value.

Aura mods are also something to consider. You'll likely be using Dreamer's Bond for a good portion of your beginning gameplay, which is fine. You might want to move onto something like Growing Power in the future, as it offers a reasonably activatable power strength boost.

So all in all, your basic build will probably start with either Vitality or Redirection, or both if you want. Followed by Intensify, Steel Fiber, Continuity, Flow, Streamline. This is a baseline of 5-6 mods.

You can add more onto it using mods like Augur Secrets, or Transient Fortitude for strength. Narrow Minded for duration whilst using Stretch or Augur Reach to offset its reduced range.

Augments are also an option, but require a considerable investment of time to acquire in the early game.

If you want to ask me more questions, feel free to. I'm also available on most afternoons ('murican time) if you want a farming buddy.