Just started the game...yes, just started...Soldier level 9....tips? guns I should look for? etc

As he's more proficient with combat rifles and shotguns, you should aim for those weapons (there are other types of combat rifles, try to aim for machine guns). But other weapons help with other types of situations:

SMGs or Sub-Machine Guns - for tight situations which the machine gun can't help (They can reach higher fire rate).

Sniper Rifles - for long range attacks (They have increased critical hit damage).

Rocket Lauchers - for big radius attacks (They are very explosive and can reach long distances, however, they are very expensive and if fired to close, it can damage the player).

Revolvers - high power pistols that are mostly accurate (They may be slow, but they compensate with fire power and some have long distance scopes that can be used for sniping).

Repeaters - they are very helpfull for a last ditch effort (They are not as powerful as a revolver, but they are faster and carry more rounds, mostly if it is a machine repeater).

As FrankWest76 said, you can use everything you can, especialy if the weapon is an Atlas or S&S. Atlas are gonna be harder to find, especially so early in the game, and S&S will help you with their bigger magazine size. "Shoot more with less reload". And orange rarety weapons are very hard to find and have special features that are very unique to the weapon.

if you want an amazing smg always go with anything that has anarchy in its name a set of smgs with x4 damage multiplier

I agree too. Hate the accuracy, but gotta love the power of four shots hitting at the same time. And they are pretty hard to find. I think it's easier to find a double smg which is pretty helpfull at this point, like Bone Head's smg.

 This game has a random weapon generator that is the first of its kind. Lets start with the basics (credit to borderlands.wikia.com):

§                     Atlas - All around good accuracy, fire rate, power, and low recoil for the level of the weapon. Rare at lower levels. Not always the best for automatic weapons, as most Atlas weapons have a negative recoil reduction stat.

§                                 Appearance: white. Best material is white with black detailing.

§                                 Marcus: "Buy an Atlas and you too can see what it feels like to hold the power of the gods in your hands."

§                     Dahl - These weapons will most likely have less recoil than most guns, and decent power. Largely makes burst-firing type combat rifles, rather than machineguns.

§                                 Appearance: generally green/brown camo style and compact weapons.

§                                 Marcus: "Dahl guns absorb a lot of recoil, allowing you to stay accurate throughout the fight!

§                     Eridians - Alien weaponry, generally high damage, unlimited ammunition. Often suffers from slow recharge, however.

§                                 Appearance: almost organic looking, easily told apart from normal weapons.

§                     Hyperion - These weapons often feature long range scopes and always boast high accuracy. Even their shotguns are amazingly accurate.

§                                 Appearance: red, sometimes red and black.

§                                 Marcus: "Hyperion asks "What good is a gun that doesn't shoot where you point?" Get a gun that's as accurate as you are!"

§                     Jakobs - These weapons will typically have high damage, but never have elemental effects. Only makes shotguns, revolvers and sniper rifles.

§                                 Appearance: orange, brownish. Wooden texturing.

§                                 Marcus: "Remember, if it took more than one shot, you weren't using a Jakobs!"

§                     Maliwan - Weapons made by this corporation will always do elemental damage. Their submachineguns are popular with Sirens, for obvious reasons.

§                                 Appearance: blue, usually high tech looking, with tubes of the element on the gun.

§                                 Marcus: "Is shooting bullets just not cool enough for you? Get a Maliwan and light some people on fire!"

§                     S&S Munitions - This company makes guns with extended magazines and often tech/elemental powers.

§                                 Appearance: yellow colored, similar in appearance to Vladof, often with black detailing.

§                                 Marcus: "The S&S philosophy is: Tech plus Ammo Capacity equals I WIN!"

§                     Tediore - This company makes guns that are lightweight and will reload faster. Expect to see a lot of these early on.

§                                 Appearance: silver or light grey, rough looking.

§                                 Marcus: "Cheap, reliable, lightweight and incredibly fast reload speeds. Tediore makes an easy to use gun."

§                     Torgue - Torgue guns are excellent all-rounders, and are generally good quality weapons. Makes good quality sniper rifles and machineguns.

§                                 Appearance: modern looking weapons that are generally grey or black.

§                                 Marcus: "400 percent more awesome! Also, Torgue doesn't make their guns out of freakin' wood!"

§                     Vladof - Fires quicker than most other average guns, and often have extended magazines. Accuracy often suffers, however.

§                                 Appearance: bright orange colored, doesn't have many additions to the gun

§                                 Marcus: "Vladof: you don't need to be a better shot, you just need to shoot more bullets!"

This is just the manufacturers.

Next comes Rarity:

§         Level 1 = White, rarity = 0-4.

§         Level 2 = Green, rarity = 5-10.

§         Level 3 = Blue, rarity = 11-15.

§         Level 4 = Purple, rarity = 16-49.

§         Level 5 = Light Orange, rarity = 50-60.

§         Level 6 = Orange, rarity = 61-65.

§         Level 7 = Dark Orange, rarity = 66-100.

Further rarity levels are present in-game, but are not assigned to weapons.

§         Level 8 = Green, rarity = 170. For Backpack SDUs.

§         Level 9 = Red, rarity = 171. For health pickups, such as Insta-Health Vials and Healing Kits.

§         Level 10 = Yellow, rarity = 180-181. For cash bundles.

§         Level 11 = Yellow, rarity = 182-190. For cash bobbleheads.

§         Level 12 = Cyan, rarity = 500. For supply drops in the Underdome coliseums.

The rarity of an Item is determined by the combination of its parts. For weapons, the items with the best parts are dark orange (with the exception of pearlescent)

The rarer the weapon, for the same level and type of weapon, almost always means the better the weapon. 

Along with all this, it depends on what types of weapons you like to use, what class you are, and how you play the game ie. run and gun (usually best with elemental), close range (smg's and shotguns shine here), Mid range (repeaters revolvers and machine guns are stand outs), and long range (snipers and launchers). Eridian work on a case to case basis, so if you feel it is necessary to look them up, please do on your own time.

In order to get good weapons, it requires a lot of time, patience, and luck, so keep looking, and dont give up!