Just pick a character and start playing. I'd suggest a duke in a large kingdom, as you get the intrigue of existing in a large realm, the power of being a duke, and the safety of being in a large kingdom or empire. So to start pick a duke in either France or the Holy Roman Empire in 1066.
Step 1 - Find wife, preferably someone in your own realm that you can get an alliance through.
Step 2 - Find jobs for all of your councilors. I always do the following:
Councilor either improves relations with my liege, or fabricates claims on someone else's territory
Marshall trains troops in my capital
Steward increases taxes in my capital
Spymaster steals technology in Constantinople (although now all 1066 starts have the same tech?)
Chaplain researches cultural technology in my capital *or* improves relations with the Pope
And that's really it. You can sit back and watch what happens, who your liege goes to war with, and slowly build up your demesne by improving the buildings such as barracks, stables, etc. Try to fabricate claims on your neighbor's land, and then go to war for them if you have more troops (including alliances) than he does. The stronger you become, the more territory you can go to war for. Maybe you'll become Emperor yourself one day, or declare independence and form a new kingdom? Or you'll be a loyal vassal and work to keep your liege on the throne?
