Your really not supposed to be able to defeat the vanguard at the beginning of the game, it's possible, but a complete newbie to the game won't know how to effectively dodge the demon's attacks and whatnot until you have more experience with the actual game, and your ready to make an alternate character.
I always have the mindset that the game is never unfair, when you die it's your own damn fault ( I include myself in this train of thought so I'm not picking on anyone) I can chalk up every single one of my game deaths (not by invading black phantoms) to my own error in judgment or thinking "yeah screw strategy I'll just run in mashing heavy attack like I do in every other hack 'n slash" since every enemy has a set pattern to their attacks which if you learn how to dodge effectively you can stay out of danger most of the time.
After learning these lessons I'm currently on my fourth playthrough, and am still having a blast, and it's still the only initial purchase for my ps3 that I haven't traded away and probably won't (unless they cut off online support).
And if you think the game is hard now, just wait till new game+, if you come to a stand still in the game I recommend using the demon's souls wiki, also one thing that I learned after new game+ heavy armor is more of a hindrance than a advantage since you can't effectively roll dodge out of enemy attacks quickly enough, trust me when I say dodging save more health than the armor boost, it also weighs you down so you can't take all that shiny loot enemies drop from time to time. Of course you can wear whatever you want, and some of the heavy armor looks kick ass (gloom armor in particular).
TL;DR
Yes the game is difficult but not unfair.
Stay away from the heavy armors (unless you just have to have it) and stick to the leather armors they allow moderate defense while allowing you to keep your maneuverability.