If your .zip contains multiple titles, the Touhou community on Reddit generally recommends starting with these due to their balanced difficulty:

Your character is much smaller than their sprite suggests. Only the tiny glowing dot in the center (visible when holding the Shift key) can take damage.

You typically play as Reimu Hakurei (a shrine maiden) or Marisa Kirisame (a thief-like magician) as they investigate "incidents".