I prefer to axe, but you started as a cop. I vaguely recall cop being a horrible starting class. Private's better due to the number of clips they start with.
EDIT: Also, folks - save for the EXP gained, AP and ammo spent attacking enemies outside of a building is wasted AP. They just stand up again, remember? AP is for barricading, healing, moving, and when enemies are inside, ass-whomping.