I think the best approach is
1. read the manual in detail (the regular manual, not Global Glory which comes with patches).
2. play Total War against the AI with simple supply. Playing as WA is good because you are on the defensive, Germany can be the proactive one.
3. play TW against the AI with advanced supply. I'd suggest WA, then Germany, then Germany+Japan.
4. read the manual in detail.
5. play TW against the AI with advanced supply until that gets boring and you want a human opponent.
6. find a human opponent and play TW or one of the other scenarios . I am partial to Global Glory for more depth (and *really* read the Global Glory description before playing GG, it is important to understand the differences).
It is key to read the manual, and try things against the AI and see what the AI does and just get used to the mechanics. I would start with Total War because Global Glory has additional complications, which will be easy enough later when you are used to it but may be too much to start with.
Also, you needn't play all those games all the way to completion. I think I only got a few turns into my own first simple supply game before I canned it and started over with advance supply.
It takes a bit of emersion, but you'll likely get used to it and learn to love it!
< Message edited by WanderingHead -- 3/21/2009 5:09:19 AM >