The way I learned–and I was in the same boat as both Charlatan and Equisilus last month–was to do these things.
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Play the tutorial. It at least teaches you the basics of the interface.
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Watch a couple of let’s plays.
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Realize you don’t have to learn everything to play.
What I did was to select a land-locked country (in this case Brandenburg) that has a very obvious early objective. In this case, that’s simply taking the province of Neumark just to the east. It also has a fun and interesting (OK, to me, anyway) couple of long-term goals: form Prussia, and then if you’re really good, form Germany.
I didn’t fiddle with trade, really at all.
I didn’t fiddle with boats much, especially early on.
I didn’t fiddle with exploration or colonization at all.
Didn’t fiddle much at all with religion.
What I learned to do was this:
Make some diplomatic overtures and form alliances.
Going to war and the importance of getting a Casus Belli before doing that.
Moving my armies around on a map.
Sieging and taking provinces.
What you can and can’t do in settling a war with a treaty.
Putting first one advisor in place.
The importance of setting rivals.
Using the national ideas and missions, which are great for giving you short-term goals and “here’s what I should do next, I think” stuff.
I only used one mapmode, the second one from the left that shows who owns what.
I watched the first 6-8 episodes of Arumba’s let’s play as Brandenburg. Pretty much everything he shows is still valid, even with the new patching since he’s not venturing out to do exploration or colonization, so it’s fine. He spends far more time looking at his relations with the Pope and the Holy Roman Empire than I did, but it’s still great for showing you the how and why of your early diplomatic endeavors, going to war, piggybacking your smaller forces onto a bigger one and reaping prestige and glory, etc.
The other thing I learned in retrospect: the game is complex, but not nearly so much as I thought before I started.