I suggest first of all that you don't aim too high, for example when playing France it is possible to conquer europe (I did it in steps with allies), this however will be very hard the first time.
Instead it might be better to aim for a certain colonial goal or a political goal.
The two things I find the hardest ingame are warfare and economy.
Military because countries like russia have hordes of conscripts ready to fight you.
Economy because it can be hard to get it working, a 'poor' country can't build railroads (improve production) and factories everywhere and will have to plan their economy more.
At the start of the game you should put taxes to 100% as tax effieciency is low, through research it increases and then you may want to lower your taxes.
DON'T put soldier, clergy (teach people to write and lower consciousness and research) and bureacrat (stop crime and increase tarrif efficiency) sliders to 100% it will get you bankrupt mostly.
In peacetime (when you aren't in real danger) you can lower your national stockpile spendure (will lower max organization of units).
Never ever ever subside a factory as they only need subside when they are failling (mostly noone buys their stuff), subsides lets the failures stay and only cost you money.
With France it would be a nice goal to hold alasce lorraine, colonize northern africa, take indochina and become a liberal democracy.
Hope this helped you, if you have more questions check out the
wiki.