What country to pick?
Some people say that the more difficult your first country is, the more and the faster you will learn. This is true, but you must also keep in mind that you can be heavily discouraged, when seeing your country being overrun with foe army. As for the game's settings, there are two possibilities - you can choose normal/normal (the other countries won't attack you when your forces are comparable) or normal/coward (and they won't attack you at all).
Note that you may choose a country not listed on the country selection screen by right-clicking on one of the coats of arms and then replacing it with a selection from the pull-down list.
This particuliar scenario is rather difficult to start with. There are almost no major powers formed (aside from England) and there is a possibility that some countries will get much more powerful than they should historically be. France and Denmark are really difficult countries to start with - France has its unification wars and the Hundred Years War to deal with, and Denmark has to face German minors united in massive alliances, as well as difficult-to-control vassals. Austria and Poland begin as tiny nations - the first one gets however some inheritance events (Burgundy, Bohemia, Hungary) but it happens much later. Muscovy and Novgorod are both capable of developing into Russia at a later date, though both begin in very weak circumstances.
The best options for newer players are Castile and England. Castile starts with Portugal, Navarra, Aragon and Granada on the Peninsula, but it won't be in big trouble, as far as it maintains an alliance with Aragon and/or Portugal and/or Navarra (though no alliance is in place at game-start). England has to fight the Hundred Years War and in the early game, the battles are very random, but still it usually overruns France with both numbers and leaders.
This is the most popular and easy scenario to start with. All the major powers are formed and ready to picked. English situation hasn't really changed much since 1419 - it will get explorers soon and start colonizing North America. There is a pretty tough competition there, but the wars can be avoided. France is probably the easiest - it is formed, has some soon-to-be-annexed vassals and for about next fifty years can avoid any serious threats. Huge manpower and great tax income is something that creates French power. Spain is formed and ready for starting the colonization - their area of interest is easy to maintain and the player can learn the basis of colonization using this country, being slow won't harm you much. Portugal is an option for the brave ones. The Ottoman Empire's nearest future is a heavy warfare so it is not adviseable for the beginners.