So I go to the Harlequin station. I drop my cargo. I drive off the enemy ships. I come back. I drop the cargo by pressing shift-D (When it allows me to). I go to hangar and choose "Debriefing". And I'm told I failed the mission. Help please.

Did you pick up the other cargo container over at Harlequin station after dropping the first one? ;) You are supposed to bring one back to the Azzameen base. Check the objectives and listen to the dialogue. :)

The single player missions in X-Wing Alliance are frustrating, vague and generally poor in comparison to the excellent and believable campaign in TIE Fighter. I suggest consulting a walkthrough online for most of it. I'm trying to complete the first deep space strike mission for the rebellion and I can't complete it, my wingman simply doesn't follow my orders and we get ripped apart on the third navpoint whilst trying to destroy 25% of the convoy. You generally have to get lucky to beat most of these missions.

I did indeed, that's the second load of cargo that I drop at Azzameen base. It was bizarre today, Sela or whatever got stuck in the base, like literally a quarter of her ship was embedded in the landing pad, so to solve this clipping issue the wine in my head told me to dock with her ship, and I crushed her.

Contrary to what TomMassey250 claims, I find Alliance to be very clear and straight forward. People always tell you what to do and mission objectives are never obscure.

As ShadowOwl said: Don't forget to pick up Container Pi 3 (I think) and don't kill the attackers and everything should be fine.

But you see I've ddone this stuff :S I pick up my container, go over there, drop it off, drive off the attackers, pick up Pi 3, drop it at Azzameen, land in the hangar, go to debriefing and it tells me I've failed my mission. I tried picking it up and dropping it again, but no such luck.

Do you wait for you sister to drop her container at the Azzameen station?

Once a mission is fully completed (so you can go back to the hangar without problems) you will hear a characteristic fanfare. You can't miss it.

Just to be very clear now:

1. You must always dock with the stations (Harlequin & Azzameen home base) in order to deliver the cargo.
2. The container picked up over the Harlequin station must include the Fuel Cells.
3. Pretty much what Kharnete has said. Aaron (Selu) has to deliver her container to the home base as well in order to successfully complete the mission. You might have to wait for that to happen. Always keep an eye on the mission objectives!

4 years later and I have the same problem! Those escorts just rips me apart. And I'm playing on easy. It almost looks like some kind of bug.

Play on normal, easy is buggy. Normal also still allows to disable big ships by shooting their engines while their shields are up or to knock down the shield generators on capital ships that have them. Avoid hard since it doesn't allow any of it and the friendly AI becomes braindead.