To conquer, simply march your army in their lands and make them stand there while you build a fort (or else the provinces revert back as soon as troops move). Proceed to do that with every county until you have enough war score to defeat them. Their "capital", or the nomad camp, still has to be sieged down as usual.
To colonize, you actually have to build castles/cities in the province yourself, with your own money. Those provinces are empty pastures with zero holdings. It's up to you to build them. Requires a lot of money but it will eventually turn into a normal county.
As a general rule, those "empty" provinces always instantly take on the culture and religion of whoever is owning them.