Babies have extremely thin and sensitive skin. Newborn babies should not be exposed to the sunlight unless absolutely necessary, and most dermatologists recommend that they should not be exposed to sunscreens until around 6 months of age. Simply staying clear of direct sunlight is the best solution for a newborn.
As a rule, babies have gentle and sensitive skin as their immune system (the skin plays an important immune function) is still underdeveloped. Choose gentle products designed for sensitive skin. If available, choose products that are specifically designed for baby skin. Sun protection is very important at any age, but it is a great life long habit to start early.