As is true of any NES title in the Mega Man franchise, you'll begin by choosing which of the robot masters you wish to tackle first. There are eight this time around, and the order is more optional than ever. It's good fun to try them in any order (and you should do so if you play through multiple times), but for now I recommend the order indicated in this guide. You'll have an easier time adapting to the game that way, particularly if you've played none of the series previously.
Also, the order outlined will help you achieve the special weapons that make the whole adventure simpler. Different bosses fall more easily to different attacks.
NEXT: Flash Man