Okay, actual advice time.
Remember to use pebbles to pull enemies. Take them out one by one, if you can. Pebbles are a really useful tool throughout the game.
There are some enemies in the first area that can be very tough. The two wolves and the big guys in particular. It is a legit strategy to run past them, just to get an idea of what's ahead.
I would recommend running past the wolves. If you're coming from "the long street", then run past them and look for some stairs leading down to your left, there will be a beardy guy by the stairs, but ignore him, run down the stairs and into the building. There will be enemies in here, but they can be dealt with. The wolves can't enter the building. When you have killed the enemies, go down the stairs, kill some more enemies (be careful with one of them...), open up the doors, and you will have a shortcut back to the lantern.
And... Welcome to Yharnam.