Selectors, selectors selectors!!!

Selectors, selectors selectors!!!

I'm a little confused by the sheer amount of selectors and wonder if anyone can help out a noob.

I want to find the first level only inside an element.  For instance;

<div class="my-class">
<ul>
<li> this one
<ul>
<li> that one</li>
</ul>
</li>
<li>this one</li>

 </ul>
</div>

I need this one,  and this one, but not that one

Thanks in advance.

John