We all, probably, have the same problem when we first played HOI3. There is so much going on and you just don’t know whets what. Just start with Germany 1936 on a very easy setting and have the AI handle your trade and spies and politics.
The windows, guess you know the basics (playing Germany):
Intelligence:
You can build a max of 10 spies per country. The first three/four months set the mission to counterespionage. The red! tells if there are spies active in your country and when you move the mouse the ! it shows from which countries and on what missions. Missions in green are good, most of the time allies, and in red are bad. If there are more than two countries active set your mission on counterespionage. Otherwise invest in national unity (for as long as possible) or support our party (only before the Anschluss).
Politics:
Not that important. Make sure you pick the right leaders (see hoi wiki) and keep an eye on the popularity of your party. If for example the KPD (communist party) gets a lot bigger than at the start of the scenario, there are communist spies active and you need to go to the intel window. The politics screen is updated every 1st day of the month. Oh, and here you can mobilize your army!!! It takes about a month to mobilize.
Diplomacy:
Important but doesn’t need much attention. Influence one country, not the likely ones like Italy or Japan, but the USA. You wanna keep them out of the war as long as possible. Also get your resources through trade agreements from either Russia or the US. I recommend Russia, convoys to Russia are less likely to be attacked later in the game. Don’t invest too much money in oil, it will sort it self out.
Tech:
This is one of the most important screens. The four sliders, technology, spies, diplomacy and officers, determine how you invest you leadership.
Spies: create 10 spies in your country asap than lower it to 2.11 or 1.91.
Officers: Keep the number on the top right above 100% (140% is the max amount)
Diplomacy: Enough to influence one country plus a little extra (anywhere between 0.1 – 1) to get enough dipl point for trade
Tech: Research techs where the year is equal or lower than the current year. Industry is the most important one (IC eff, supply prod, agriculture). When you wanna research something make sure you gonna use it. Don’t research super heavy battle ships if they are not gonna be constructed.
Production:
At the start of each 1936, no matter which country, your army is gonna be upgraded. Set the upgrades slider to the amount needed. Most of your units will be upgraded after 2-3 months. Do the same for reinforcements and consumer supplies. With the left over start constructing (see wiki for tactics).
Everything else you need to figure out yourself

coz that’s the fun of the game

and most of it is on wiki anyway

Good luck