Why don't they just refuse to do it? Are they not scared?

1. Someone has to do it. Might as well be them.
2. Of course they're scared. But as Mark Twain put it, courage is "resistance to fear, mastery of fear, not absence of fear."
3. They are trained and prepared for this, sometimes for years on end. They may have practiced on similar terrain, been lectured or inspired by their officers, gone through live-fire exercises, and much more.
4. Or they may be veterans, who have seen repeated combat before. Whether they are dismayed or sanguine about their chances, volunteers or draftees, this is part of their job, what is expected of them, and they do it.
5. All their buddies are present. Bravery increases in job lots, even if only in the Red Badge of Courage sense where everyone is terrified but no one wants to be first to run.

Finally, Saving Private Ryan aside, being the first out of the landing Wescraft Boat does not necessarily mean being the first to die. Many landings were unopposed, sometimes to the surprise of the assault groups. Others were lightly defended, or the defenders were distracted by landings elsewhere on the beach and could not spare attention for another. (If there are fifty boats and only ten machine-guns, the odds aren't that bad - provided they all hit the beach at the same time, which is sadly rare.) Finally, the vast majority of casualties aren't killed outright; and if you happen to be in the HQ unit, there's probably a medic right behind you.