Buck up, mate. I understand losing sucks but you gotta keep your chin up and stay positive or you won't improve. It isn't about winning to improve it's about learning. Gotta hand it to you, though, I respect your willpower to keep playing. That's step one right there.
So I can run over a few pointers as easily as I can explain them; I'm fairly new to Smash 4 too but I managed to go from losing constantly (17% winrate on FG) to a 60% winrate on FG in around 2 weeks. It's not hard to improve as long as you know how.
Throw everything out the window that you know about fighting games. This is Smash. While it is a fighting game, it's all about being the biggest pansy you can be and not getting hit, waiting for them to miss you, then getting a combo off on your opponent. No, it's not about fighting. It's like a game of chess. "They move here, I move here, they are in a worse spot, go for them". You're fortunate to have picked Megaman in the way that he's fairly heavy and has a lot of things to keep people at a distance or make them mess up because they have to hit you or keep getting pelted by lemons and saws.
Make sure you dodge and shield A LOT. Throw out a move that missed? Shield or dodge. Managed to hit? See how many more hits you can get in before you flub one then, when you miss, shield or dodge. Grabbing is super helpful in this game because it goes through shields, so make sure you do that a lot. I assume you know the basic controls and therefore know about holding a direction and it doing a different attack or "Tilts". You can also hit A and a direction at the same time to Smash attack: A more powerful but slower move used to kill at higher percents. Megaman's SmashAttacks are fairly slow with good hitboxes except his Side Smash (Or control stick forward/backward and A at the same time) which is just straight up good.
Play against a CPU on a difficulty that YOU BEAT IT AT. It's horsecrap that fighting people better makes you better; it doesn't you just get your ass handed to you then burnt out super quick because it isn't fun to lose. I'm not saying fight a CPU 1. It can still be a challenge just make sure you actually win most of the time.
However you are here to LEARN. NOT WIN. Do you expect to just jump into a game and utterly destroy top players? No. Did top players just "play" to become good? No. They practiced. Learned frame data, combos, matchups, etc. I'm not saying "LEARN EVERYTHING POSSIBLE". You can if you want but really you should take a look through the
Fundamentals of the game and
how your character plays. It's more important you come away from a match saying "I think I can jab-lock reliably now!" than "I won". Learn the tech, focus on improvement, then focus on winning.
ONE LAST THING: I don't usually say this sort of thing because GEEZ it's hard to type and put the right emphasis on the wording but: When you are ready, beat your girlfriend. Like at Smash, you know what I mean. Keep trying to improve- not win - until you can kick the crap out of a CPU 8 then fight your girlfriend a lot. Practice with her when CPUs aren't a good enough challenge anymore.
OH AND DON'T PLAY WITH ITEMS. Just don't.