Pretty good for a first try :)
As this is your first game I have to admit it is pretty damn good- no offence here, but it seems like it may have only taken about 5 or so hours to make, but I'm no expert.
I thought that the reload system was a little lacking... and I constantly died because I kept forgetting to shoot that gun in the corner.
If there were things you could add, I'd say they would include the following:
Health packs you have to shoot to 'use' or maybe pick up- and then press a key to use.
Different weapons which, once again you either have to shoot and then select or auto switch.
Auot reload? Or perhaps a key, like R, to reload rather than having to shoot a part of the screen.
The sounds were good for a first game- not too high quality so that it impaired performance, but then sometimes they got a bit confuzing.
All in all, a nice job for your first go.
Well done and good luck in the future.