Here are 10 steps I execute at the very first turn of a game, no matter which country I am: discussion welcome!
a) on the options page, turn off "always use quick combat" - then you can choose detailed combat when there are more than 30,000 mean on each side. I would also turn off "reinforce from city" - but this is a tactical suggestion.
b) on the economy screen, change recruiting to optomise morale - I set it to 21-40 year olds and 20 months of training. That will increase morale of reinforcements to 4.70. Increase draft size to maximum. Increase tax rate to 20% for now. (Do NOT play with your feudal setting - this has big ramifications and you need to be ready for it.)
c) go through the province details, setting each province to maximum production of something they are very good at, and put all the rest on something else you need. The default settings of a little from everywhere are silly. Make sure when you finish that you are producing MORE food than you need and will accumulate resources for your building program (both to your cities, and new units). Identify any resources you make lots of (and hence would be willing to trade away), and any you would be willing to trade for.
[Note that horses, wine, textiles, iron, spices and luxeries are all scarce for some countries - if you can produce some extra to use for trade, do so!]
d) go to the Set Policy screen, and adjust the trading defaults (whether you control this manually or with the adviser, set this screen - it will save you time and effort!). For example, Prussia might be willing to export horses, iron, wool, and spices and want to import money, luxeries, and wine.
e) if you are trading manually, try to make some trade offers. Caution: trade routes you propose cost you a little money to maintain (the amount varies with distance, and is less if both ends are ports): if money is a big problem, don't propose any. If you can afford it, set up at least one trade route with each neighbour - it will improve your relationship.
f) make your first treaty proposal - you can make one a month, and you should make a treaty with every country you are not at war with over the first months of the game: think of it as establishing relations.
g) now lets consider our military units:
No country in the game starts with an optimum assignment of divisions corps/armies. In this first turn, lets try to get things on a better footing. Only France starts the game with corps (and 5 neutral minors, btw), so they can get many more units into an army than anyone else - which lets their leaders have a bigger effect and assures the units don't get split up. An ideal force should be about half infantry and a quarter each artillery and cavalry: your force mix probably won't be in these proportions, but this gives you an idea how I would split things up, and what units I would be building.
If you have choice of which units to use, consider their morale and use the better ones.
Change EVERY army and corps from "use supply" to "forage". Now you can cautiously allow paid supply in rare circumstances. (Still build supply depots at key areas - they get you supply caissons in combat and preferential reinforcements.) You will take some foraging losses, but hopefully reinforcements will keep topping up the units.
Most countries forces start partially depleted (as if readiness was only just turned up to 100%). Consider transferring men from poor morale units into high morale units of the same type (ie. pumping militia into infantry). If you want the poor morale unit to get reinforced, make sure you leave 2000 men in it. If you would rather be rid of the division for good, take all the men!
CAUTION: Do not go into quick combat with infantry/cavalry divisions under 4000 men - they will rout without doing much for you. Transfer troops!
If you have spare army/corps counters, fill one with whatever you have left over, and use it to seige things. (I often call this the 'militia army').
h) make sure you move your diplomats - if nothing else, have them work on charming a neighbour, or pressure peace on an enemy.
i) consider your naval units: every nation starts with at least one merchant and a privateer - you want the merchant in a high paying sea area, and the privateer(s) in a different sea area where there is either an enemy trade route, or somebody else's merchant. Get them going.
j) last check - did you turn on all the advisers you want? They really help when learning the game. Beware that they development adviser may rearrange all the province labour allocation we set, and the economy adviser may change the economy settings - I would always turn at least these two off.