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Um, have you read the manual at all? Basically there are two modes: direct via IP, or on the Paradox Metaserver. In both cases you will need to have lined up your opponent(s) beforehand.
 
Starting MP

You are welcome to join our MP group that plays on Wednesdays at 5:30 to 8:30 CST (GMT-6), which would be 6:30 to 9:30 EST (GMT-5) for you in Florida. Our current campaign is the Phyricc Victory thread. It is full, but drawing to a close. We'll probably be starting a new game in one or two weeks.

In any event, you could drop by metaserver at 6:15 or so just to practice joining a game. There might not be any countries to play as we are pretty far along and just about all the minors have been devoured.