You won't win every game. But try and learn something every game.
I would suggest that a newcomer pick a nation and stick with it in single player mode for a bit. Read all the guides for that nation that you can find. Start several games with several different approaches to your pretender. You won't win all of these. When you DO get off to good starts (12+ provinces at the end of the first year and an idea of what you want to research up to year 3) get into a newbie game. When you die, pay attention to how you died. (Dang, real players play very differently than the computer player) learn from that.
Try another nation.
To me the joy of dominions is precisely trying different things. I have more fun in games that I lose than I do in games where I win. No pressure and I'm free to try things without playing "optimally."
Caelum above works great...
http://forum.shrapnelgames.com/showp...61&postcount=1 was my attempt to help others get over the hump.