Alright, here's the first level for Tomb Raider Underworld, so this is pretty much a training level. You'll start in a burning house so yeah, lots of awesome fire effects for you to admire.
And yes, you're trapped in a burning house and you have to escape as soon as possible.
Just head along the corridor and try to avoid the fire (although the effect is quite awesome when you get close to it).
You will soon have to climb a first block, so just use Space (or whatever you jump button might be).
You will need to use the switch to open the next door, so just get close to it and press Use (E).
Tada, the door opens and .. yes, you have even more fire effects. Just use Ctrl while running to get through the gap ahead (or you can crouch).
Climb the bunch of rocks you find next and use the grapple to get the door open. First, press Q to grab the door then hold E.
You'll find a health pack ahead, you can always press V to use it.
Pick the health pack and then continue through the left side.
Just follow the path described in the image and in the end do a jump backwards, you should get across safely.
Push the large crate straight forward and then climb it (press Space).
Jump and grab the ledge and then just get across the burning section.
When you get across ... surprise, part of the ceiling collapses and you have to jump to get across - nothing big.
Continue across the corridor until you find a ring you can use to grapple across.
Drop down and continue towards the door ... that's pretty much all.
Enjoy the cool .. and disturbing cinematic and get ready for some real action.