Notice what the comment is, "Failed" means you just have to keep trying. "Seems very difficult" means just give up, your skill isn't high enough.
Tactics is harsh when it comes to locks, since the game is very linear, and you are unlikely to return to completed maps later on (unlikely, but not barred from, so you may very well return later and try, although with slow travel speed and a billion encounters per tile, it's a drag... )
In Tactics it is generally advisable to hyper-specialize all your team members. A lock-picker should aim for a skill of 200% (or slightly more, I'm not sure) in order to unlock all locks in the game. That said, lockpicking is not vital, and all locks of importance have keys to open them.
You're on the first map, as in Brahmin Wood? All doors on that map have associated keys, so just double-check your team's inventories or dead bodies for the keys. I make a habit of transfering all found keys to my platoon leader, just to avoid checking everyone for such (just click and drag and drop the key from inventory and onto the name-tag of the target. This is also good for bartering: Place your best barterer next to the trader, and transfer all items over to him/her, overloading their carry capacity to amazing levels - there is no limit to how much they can carry - they simply can't move while severely overloaded. This way you get the best prices)
If you're new to Tactics, you may have noticed that shelves and such are uuuusually unlootable decoration, but hover your pointer over them to see a little target, means you can loot. Sometimes shelves have keys and such.
