Seems like most Mega Man games have an "in the sky" stage, and in this game, it's Gyro Man. Some players recommend starting with this level, as he has the Rush Jet.
It's pretty straightforward, but there are a lot of "instant death" pitfalls you need to be careful of, since you're in the sky. The section with collapsing blocks is the most challenging part of the stage, but this is easily skipped with the Super Arrow, if you have it.
The Beat Letter is under the collapsing bridge I mentioned before. You have to stand on the block, and as it begins collapsing, get the letter and jump back to a block that hasn't fallen yet and continue on your way. Chances are you'll die in the process, but it's all right if you do - you'll keep the letter even if you die.
Gyro Man is a pretty simple Robot Master to defeat, making him a good choice to go after first. He'll go up into the clouds, fire down some blades, and then land. You just need to stay on the move and hit him with your regular weapon when he lands. Fully-charged shots work great here. If you got the Gravity Hold, just go nuts with it, he'll die in no time flat. He doesn't even have to be on screen to be harmed by it!
Victory gets you the Rush Jet.