Definitely agree with Tomatobob here: UFO Defense is the king of the X-COM games. Terror from the Deep runs basically on the same engine and has the same mechanics, but they changed around a lot of the balance to try and make it tougher and kinda went too far and made it extremely tough even for UFO veterans. Apocalypse is an interesting one where you can also run the battles in real time if you want, but I was never good at it.
Enforcer was a FPS and Interceptor was a flight sim but I've never tried either of those and I hear both are pretty bad, Enforcer especially.
Best places to start are somewhere in Europe, the US, or probably around Japan. US is the biggest individual funding nation but there are a lot in Europe so you cover more there.
Also it covers a lot of countries that give you money. The US gives you the most money of any country, but can usually wait until you have the money for a second base.
In my current game I have a base around Texas (seeing as it's based off of M2K2 it felt appropriate to start there) and I recently put one in India since there was a lot of UFO activity there.
But you might be able to work with that. Not sure if you'll be able to see all of the UFOs flying over Europe until you build a better radar but you'll probably still catch a few.
Anyway, I'm probably going to be headed off to bed in a few minutes, so since I won't be here I'll put the Beginner's Guide from the X-COM wiki here for you. Between that and Tomatobob you should be able to start off on the right foot.
Start with 8 guys but can have up to 14 in the Skyranger if you don't have a tank (which take up 4 spots for each one)