Sorry to hear Borderlands is bumming you out. The gear & skill management is what really makes this game so much fun to me. Its worth the effort to explore each area and go back to chests you know about, improves your chances of finding good gear. If your going to piggy back your friend, get him to go into ultimate Vault hunter mode, you will gain some levels quick and catch up with him.
The Pshyco is kind of an advanced charatcer that forces you to play very agressive and risky.He doesn't realy get impressive till lv 30. I would suggest giving the Mechromancer or the Commando a try. They are probably the most balanced and straight forward with a lot of flexabilty.