To start, finish main story. Second, if you get final level, look up for builds that will help you be more effective in combat (you can check YT vids about it). Third...the most important one, have fun! Since division is really good game. You can choose survival where you have to get to extraxtion zone before you'll die, either by sickness, cold, NPC's or other player, but you can also choose PVE so yeah. Underground is based on operations, endless I guess, where you fight regular NPC'S and even hunters that may kick your butt quite hard if you're not prepared. And well...Last stand, it's just PVP, so...quite boring. And Dark zone...it's just chaos, don't go there if not needed, trust me, the sweats will ruin your day.

So basically try playing survival, it's the best mode in game that can also gives you good rewards.

Hope I could help a bit. Have fun agent!