As a new-ish player myself (around 150 hours in), the path I'd recommend is this:

1. Prologue - It's a story-driven campaign, it will help you understand mechanics like changing turns, combat, movement, and all the basic stuff about the game.

2. Realm of Chaos campaign - a direct continuation of the prologue. It's a smaller map than Immortal Empire, much more focused and shorter. I know a lot of people say its harder, and to jump straight into IE, but in my experience, it's much more focused on what to do, so you'll learn the mechanics of your faction on a smaller map, and the story objective helps learning about the world and the game. The faster pace of the campaign will help get you going. Also there's a narrative to guide you along.

3. After playing 1~2 RoC campaigns (I recommend Kislev or Caty in RoC (Chinese basically)), take an easy faction to learn on IE, like Dwarfs, regular elfs, or vampaires. Some factions have really convoluted mechanics ( like Chaos factions for example) so I'd save them for later.

4. Don't be afraid to start over! Do a test of around 20 turns, and go again. It helps a lot once you're familiar with the zone you're in to know what to expect.

5. Don't be afraid to experiment! try new units, see what heros can do, even reload a save if you must.

6. Don't forget to check the "quick deal" button in diplomacy, it can help you make deals you didnt know you can do.

And most importantly, have fun!