When you're choosing a country, you should first go to options and turn inflation off. The other changes are optional, but when you're first starting out it's a bitch to manage inflation while you're trying to figure out all the rest of the game. As for your first country, I'd suggest either Castille, France, Burgundy, or England.
Castille (Located at present-day Spain) is just across the water from North Africa, and once you sweep Granada from your south border (they only have four provinces and your first mission always seems to be to grab those) it proves to be a nice staging ground for taking African territories, which have trade resources you won't find in Europe (notably ivory and slaves). France is good because, as mentioned before, it gets you used to the whole idea of vassals and diploannexation (that is, diplomatically annexing a country, as opposed to doing it through war). They're also nice and big to start off with. However you will inevitably have to fight the English and most likely Burgundy as well. Burgundy, my personal favorite, isn't as large as France, but has the added benefit of being a member of the Holy Roman Empire while bordering non-HRE France. The importance of this is HRE cannot hold territories that they have no core on without getting a negative trait dealy. I think it raises your infamy (also called BadBoys, or BB). But as France is not a member of the HRE, you can expand west all you want. You can also try to become Holy Roman Emperor and learn your way around that. Lastly is England. In the beginning their large navy and island status make them practically untouchable, and your territories on mainland Europe mean you can create troops in preparation for war with France or Burgundy without worrying about ferrying troops immediately. They also tend to have the easy missions of taking over Ireland and Scotland (though the Scots will put up a good fight) and forming Great Britain.
Each of those four has a distinctly different feel and I'd suggest having a go as all four and learning what they have to offer before expanding your horizons.
When you aren't at war, drop your Land troop maintenance slider down. You'll save a good bit of money during peace time if you have a larger army. Put it back up if you expect war is on the horizon. Which, unless you've been doing nothing but making friends, won't be too far off.
Always try to keep your Stability (Stab) at +3. You'll have more ducats to work with as well as less revolt risk and a large number of other bonuses. I start off my games putting all my moneys into Stab before I go for Gov't.
Some people don't like this method, but I prefer to focus all my moneys on one tech. While you'll lag behind a bit in other areas, you'll be able to catch up. Especially if you hire advisers that give a bonus to your various researches.
Once your Stab is +3 you should get Government to 4. National Ideas (NI) provide excellent benefits to you for no cost other than putting time into Government Tech.
I don't hire an adviser that boosts Colonial Range until I have the Quest for the New World (QftNW) NI. I can nab African coasts in wartime and in 50 years they'll core if I don't already have a Casus Belli (CB) that gives me a core on a province, so I'll have the ability to colonize the African provinces in that time.
Remember to calculate the cost of an adviser and compare it to the benefit they provide. A few low level advisers will do nothing but eat your ducats and hand you their money laden poop.
I tend to join a Trade League. The three I know of are The Hansa, Venice, and Milan.
Don't be stingy. If you're in a war and there's a few too many nations biting at your heels, be willing to throw a few ducats at some of the minor partners to get them to tits off.
Until your Tech levels allow you to construct buildings, you should use your magistrates to build your culture. A high culture (and, if they require it, Army or Navy...uh...shit, what's it called? Whatever, go to the culture page deal and you'll see it) will let you recruit better advisers. 100% culture is a great way to make 5 and 6 star advisers available.
Now I'm no expert at this game, so I may be telling you some bad advice. But experiment and have fun nonetheless! Oh god text wall.