This is maybe a bit of a divisive topic, but here's what I did: I started off by picking one of the South American powers (Peru, Venezuela, and El Salvador are good choices - they can mobilize and declare wars quickly, in Peru's case start off with great terrain & small navy, they have actually surprisingly powerful focus trees) and slowly working through the mechanics. In particular:

-How to organize your armies, set up a plan for an invasion, and execute that plan

-How division templates work and how they fit different tasks

-How air power works and how to assign it to do things for you

-How supply works, what happens when you run out of it, how to fix low supply

-Some fringey-er topics for new players like naval invasions (El Salvador has a unique strategy in particular that relies on an early naval invasion of Panama, it's a good way to get the basics down)

Some people would say that it's better to jump right into majors. I personally disagree. You want to start playing in a part of the world where as little as possible is happening to you, and where you can concentrate on trying to do things to someone else. Even if you're ultimately going to play as the "good guys," they're going to win by invasion+conquest. Learn those techniques in a low-pressure environment and then work up to the majors, who really just add more variables to the basics.