Are you talking about Tri, or MH3U demo that just got released?
I've never played a Monster Hunter Game before I just downloaded the demo earlier today and played around with it for a while. Apart from it being just a typical demo I'm both impressed and dying to play the real thing. I messed around with all the classes except Dual Sword/Long Sword/Lance/and Heavy Bow just seeing what they all do and how well I am with them. I'm most likely going to get a CPP(I don't even care if this is the only game that uses it), but besides that I can't wait to play this game next month, that and getting Luigi's Mansion: Dark Moon
I'm talking about Tri. MH3U is fine, despite the water controls being next to impossible without a CPP. I'm disappointed the water combat was put back in, since its incredibly cumbersome but it's too late now. I'll have to buy a CPP XL whenever they release here.
If you're having trouble picking a weapon, Longswords are a great place to start. They're easy to use and are relatively forgiving. It's a good weapon to learn the game with, and then you can branch out later when you're more familiar with the monsters and environments.