While placing your soldiers, note that there may be some aliens outside of the UFO, so be aware of this. Kill all the approaching aliens and until no more aliens come. Then approach the UFO and kill the aliens from the outside, use grenades if necessary. The aliens inside may attack you automatically at your turn. To avoid this, attack the aliens from their back or just kill them from a greater distance. The aliens will not move even if you are right outside of the entrance. You need to kill all the aliens before they can escape. When all the aliens are killed, the mission will end automatically.