In part, it depends on which country you're playing, but there are a few common goals to shoot for.
First is establishing a positive cash flow. You may need to use your National Focus point(s) to promote Bureaucrats up to around 80% or higher, especially in your more densely populated provinces, to boost tax income. Don't be afraid to tax at 100% in the first few years, as your tax efficiency is so low that you'll only be taxing an ACTUAL 20-30%. You can lower the tax rate as your tax efficiency increases. Check the tax screen to see how much the various pops are able to afford: not getting the basics will cause Militancy or demotion to a lower group, but getting too many Luxury goods can lead to promoting out of jobs you want to prioritize. You can balance the tax rate with the individual sliders for Clerics, Bureaucrats, and Soldiers to keep them at a healthy median income level, ideally with just a touch of Luxuries.
In the mid-game, especially if you've colonized, you'll probably want to put workers out of work (through tech increases in RGO production, and population increases) so they emigrate to the colonies or join your army.
Second, raise Literacy through Clerics (who both teach and provide a large percentage of your early-game research points). You can switch your NF to hiring Clerics, as anything up to 2% of your population directly increases Research points, and anything up to 4% increases Literacy, which should take something like half of the game to achieve. Don't go over 4%, however, because that's just paying more Clerics with no additional benefit.
Depending on your form of government, either you can build factories, or else need to rely on Capitalists to decide to build them (with an absolute disregard for profitability). Check the Trade tab to see what's in high demand, and what products have already oversaturated the market.
If you're a top 8 country (a Great Power), you'll need to concern yourself with Spheres of Influence, which can be a tedious mini-game that will occupy at least 75% of your attention for the rest of the game.
Fundamentally, this game is far different from other Paradox titles, in that it's not really a "war game", even though war is one tool in your diplomatic arsenal. Understanding your "pops" and what makes them do what you want is the key to success. Taking stuff from the other guys may or may not be beneficial to you, although taking essential resources (primarily coal, then oil and rubber in the later stages of the game) that you can't get enough of otherwise is a valid strategy.
