Don't worry about dying a lot, everybody dies a lot. Try to make sure each run that you learn something about that quest. Playing one quest helps with this. Look out for which resistances are good for the quest, which damage types it's good to have, and which bosses are worth taking on. Armed with this knowledge you'll get a little better each play through. Artifacts are important too. Always look out for them. Once you start getting a collection of artifacts you can tailor your character more for each quest.
well i'm a bit noobly but here's some advice you should take with salt,
usually the best quest to start with is the 'Mask of the Boy King'. the first few floors are very beginner friendly-ish and offer a lot of health/stat items.
though good advice is to not desecrate tombs if you have less than 30 health (you can venture with less if your defense is pretty solid, like 12 or so)
i dunno how many times you've died so i dunno what characters you have.. but most people beat that quest with the Amazon (i can't remember the death requirement off the top of my head, sorry) due to her starting divine bow which makes cake out of the first few floors.
but my first time beating it was a bit later.. with the Warrior dwarf surprisingly. my strategy (consistent with any melee class actually) was to first find some decent armor, boots, helmet, etc. on the first floor then desecrate every tomb. eventually i found a poor sap with a golden (divine) weapon then i went to work building up my stats so i don't miss every 4 turns. i skipped the minibosses on floors 2, 3 and 4 and worked on building a high health base.
by the last floor i had a resistance to lightning and a non-divine weapon (VERY IMPORTANT). i don't want to spoil anything but trust me on this one.
finally, once you get the artifact at the end of the quest, you can bring it with you on any subsequential quests, making them a bit easier to complete!