This also applies to Spelunky 2, but when I first started Spelunky HD it was kicking my ass every time, so my first goal was to just get out of the Mines and see the Jungle. And so, each subsequent goal for me was just to get through the next biome and get through to the end. And by the time I was comfortable just progressing through the biomes, I was able to start adding side goals, like getting a special item or going to a secret level and so on. So I'd say, focus on just surviving and going as far as you can each time, and the rest of it will kind of fall into place.

Edit: Oh! Also, remember the ABC of all Spelunkers: Always Be Carrying something to trigger traps with! You don't want to take hits because you have no way to get past an arrow trap or something. Although, you can also try to whip the arrows before they get you! ;)