Strange to see people approach to the game like it is Rocket Science.
Just play, google vague things, have fun.
If one wants to improve rapidly, then a dedicated effort in figuring out how to improve is the correct approach. Humbled or not, should OP get his methodology down he will improve quickly...much more so than the "just play" crowd, which tends to hit a plateau they never surpass with a few exceptions.
Here are some tips:
1. Use games of the most successful players you can find as a frame of reference. Try to match their success, and when you fail figure out why it happened. Once you understand not just what they're doing, but also why they're doing it, you can start to build your own style. However, it is important to understand what is currently understood as possible. Rookie players in most games perceive perfectly doable things to be completely impossible or don't even think about the possibility of doing them, and thus do not plan for things that they themselves could attain with some focus. Never let yourself get caught in the trap of "he can do that because he's "x", but I can't". Note that this piece of advice is not unique to gaming, but applies to it the same as anything else.
2. Whenever you don't understand a mechanic, look it up here or on the wiki. Try to understand the investments required and what you can get out of it. This applies to everything from trade power to using scorched earth.
3. Set in-game goals and try to reach them. Make them lofty, and when you don't get there, again go over your choices carefully and think about what you could have done better...even for master players there are better choices they could have made.
The nation you choose doesn't matter much, assuming it can use all of the mechanics in a reasonable time period. You could learn this game pretty easily regardless of whether you pick France or Nepal. In fact, playing both gives you an idea of what you can get way with in each situation.
EU4 is a huge learning curve to anyone who has not played a grand strategy before and is sort of like rocket science compared to learning other games.
I went from "never played grand strategy" to "Luck of the Irish" in less than two months

. The learning curve is real though, and steep. Actually improving quickly requires some focus on doing so. The OP asked the right question, which is not "what to do in this game" but rather "how do I learn this game".
To really improve quickly, you must first understand that things like:
1. Vassal Vijaynagar inside of 5-7 years of the game's start with Bahmanis, Gujarat or Orissa.
2. Defeat Ming with Korea and remove most of Shun from them, before 1500.
3. Conquer all of England, Scotland, and Ireland before 1550 with Munster (the Irish one).
4. *Win* a war against a colonial power with backwards nations like Creek or Songhai, taking territory.
5. Trash Austria with Venice and rip out Styria, despite that they got Burgundian inheritance.
are all possible...in fact some of them are relatively easy. Once you understand what can be done, you need only work out how to do it. Experience alone does not make one better nearly as fast as experience with a focused effort on improving.