I was in the same situation as you currently are a year or so ago, so I do get why you would feel lost in the numerous options you have in front of you when playing EU4.
You have to realize that we can't possibly provide you with a single strategy that would help you win this game, because it depends on too many factors to list them here. And you'd end up more confused anyway by the amount of information you'd get. However, there are steps you can take to help you learn, and eventually master, this game. Here are the best advices I can personally give you:
Beginner's Tips
Start a new game without any specific performance expectations. Try different things, watch what the other nations do, especially your neighbors. It can help if you start with one of the "best" nations (France, Castille, Portugal, Austria or Ottomans). Keep in mind that in order to build a winning strategy, you need to be familiar with the most important game mechanics. So your first game(s) should serve to that purpose: learning the mechanics. Make sure the game timer is set to a low speed (2 or 3), so that you have enough time to react whenever something happens.
Watch "Let's Play" videos on YouTube. I haven't watched a whole lot of them, but I enjoyed shenryyr's and Arumba's videos, both for the entertainment they provided and for the knowledge you can gain by listening to their thought process while they are playing. If you do watch those videos, it would be more beneficial if you watched a game that uses the same version of the game you own (including the expansions), since the expansions add new features, and sometimes they modify some mechanics of the vanilla game.
Watch introduction videos on YouTube. Arumba has very nice and detailed tutorial videos covering lots of stuff in the game (war, trading, diplomacy, etc.).
General Tips/Observations
In EU4, you can do just whatever you want. You can start with Castille, and try to convert to Protestant, declare war with Portugal and never colonize the Americas, or start with some Indian nation and colonize Australia like there's no tomorrow. You decide what you want to do at all times, the game does not force any sort of goal upon you, which leads to a state of confusion when you first start this game.
You mentioned the quantity of maps confused you. Keep in mind that only a few of them will ever be useful to you. Most of the time you can stick to the map that shows only the countries (can't have access to the game right now, to the map names eludes me :\ ). Eventually, you'll find the maps that gives you the information you need at that specific time.
If you play a nation that is not part of the Holy Roman Empire (HRE), don't mess with any nation that is part of the HRE unless you know exactly what you are doing. There's an HRE map that shows which nation/province are part of the HRE, it can help you visualize this danger zone.
There's a lot of useful information that can be obtained by hovering the mouse over the information presented on the screen. For instance, you can have an explanation of what a map mode shows to you if you hover the mouse over the mpa mode button (and wait for a second or two). If you look at an information and wonder what it means, hover the mouse over it, more often than not you'll get additional information.
