I drop into the largest building just like the briefing tells me. I proceed to blast one of the guards and a sort of crate/tent thing. I try to shoot up the other one, but I can't hit it. I then immediately proceed to die because I can't get out from the building. What am I doing wrong?

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"I can no longer sit back and allow Communist infiltration, Communist indoctrination, communist subversion, and the international Communist conspiracy to sap and impurify all of our precious bodily fluids."
-Gen. Jack Ripper, Dr. Strangelove

try to follow the arrows...
and practice so you can kill he ufos

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An exit opens up when you kill both tents and both guards. Remember, keep moving at all times. You can run around the room faster than the guard(s) can turn to shoot at you. Whenever you have an opportunity, take some shots at the guard. Missiles and grenades can also eliminate the enemies very quickly. If worst comes to worst, die, and in your next life drop back into the building to finish off what's left.

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