as far as radiation shielding goes i think we would be well off to find natural caves, and then proceed to reinforce and pressurize them. which should protect you from radiation. on the moon you could jest pile a thick layer of regolith on top of an inflatable structure. water also makes a good radiation shield, but you would likely need to extract it from the martian soil over time and wouldnt have it immediately on arrival. caves still make useful immediate shelter upon arrival with minimal modifications and materials.
we should probibly find a viable cave site with robotic rovers and plan its development long before we get there. caves sometimes tend to be unstable, so produce accurate 3d scans of them, then a prefab reinforcement lattice can be constructed on earth and then landed with other building materials and equipment on a robotic cargo ship. sprayable concrete would also go a long way to shoring up a cave, and most of the ingredients can be found on mars, just bring cement and water. you could also bring some kind of foam reinforcement which would be lighter and not require any local materials, but wont be as tough as concrete. you then just need to install an airlock.
you will probibly want a nuclear reactor to power tools, life support equipment, you could also use that power for a hydroponic grow room to grow dope food (probibly genetically modified), as setting up pressurized and radiation-shielded greenhouses would likely be a major construction project to be done at a later date. you probibly want infrastructure to produce structural steel, glass, reactor fuel, water (which can be converted to rocket fuel and oxygen with power, id use ntrs for the return ships so the oxygen can be used for breathing instead of burning), you will probibly also need chemical production facilities as well. you will also be relying on a continuous stream of heavy equipment from earth, since labor will initially be scarce.
