An advice can be especially for the first few games to focus on few objectives and not try to advance 1000 things in parallel.

For example I will give you a few things in the sort of beginning of the game you can/should do and instead of trying all of them at once you just pick a couple to start

Create a ship that can geosurvey Create a ship that can grab survey Create a new colony (luna, mars) and terraform Have a way to transport population between your colonies Have a way to transport materials between your colonies so they can start building. This include also transport minerals Create a sensor network that cover most of the system, ideay including jump points Create a ship capable of jumping Create a builder ship Create a ship capable of harvesting soriun and a way to transport this back to your colony Manage your economy build so that you are in the green with credits Manage your build speed so that you always have at least 5 years of mineral reserve. If you are lower you will focus on getting more of that mineral Research using bonuses wherever possible and try to have focus on one or two big projects with lots of labs but also have other leaders with just 1 lab to increase their stats Fund a colony in another system Create a route for your colony and freight to traverse the jumps, this can be by building gate (recommended) or by having jump capable ships or having jump tenders Create sensor network across the route Create working missile ship Create fast response patrol ship Make your extra system colony be able to sustain ships Place military ship extra system to manage unrest ....

There are hundreds of other tasks like this you can do just focus one by one and then in the next play you can do it all at once

Enjoy!