When you lose all your stars the first time, you can choose to continue for free by watching an advertising video. For each subsequent time you need to continue, you must spend at least 150 gold sacks.
Power-ups
You can also get power-ups by shooting boxes and barrels. However, make sure to remain safe from the possible bombs that will also appear from barrels and boxes. In later levels, make sure to select the shield power-up to protect you from hits.
Reloading
Reload whenever you have spare time and not while in the middle of exchanging fire with your enemies. Allow enough time to reload; if interrupted your clip will only be reloaded partially.
Sacks
This is the primary currency and can be obtained easily by shooting at the barrels and boxes that are ringed in yellow, then shooting the sack icons. You can get more sacks by completing quests. Completing all three goals in a quest will give you the maximum sack bonus.
Upgrades
Spend sacks to maximize your life stars and magazine size first. Life stars will allow you to progress longer, even after shot. Increasing magazine size will allow you to deal with reloading better.