Conquering Europe, a lofty goal in any game, not so much in real life. I try to keep my imperialistic tendencies limited to video games and this map is one of the best to make me feel like a real Roman Emperor.
Initially, you have very limited space. Building a farm will be difficult. Build fisheries. You'll want a supply of food because you're racing for gold in this map.
In this map, speed is the key. Build barracks and expand northwards as fast as possible. You want to hit the mountain range and push through it before your opponent does. There's a small mountain pass that fits a single barracks. This pass controls the gold supply in this mountain. If you don't have it, you might as well start over. Your enemy is going to have a well trained army, you won't have a coin. I've been there, it's not fun.
This is where the trouble really starts though. You now have mountains full of gold and other ores and no room to place farms. You'll find large forests to the east and west, stay south of the alps and build lots of woodcutters. I personally try to keep my iron smelters, armory and mint in northern Italy while building farms to the east and west.
This is a theme you'll find throughout the World Campaign. A lot of forests and stone will hinder your progress while being showered with gold and iron locations. Often, a metalworks can help by building a lot of axes.
To win this campaign, you just have to destroy all enemy headquarters. Easier said than done. Another problem you'll run into is vast swabs of land. Once you destroyed an enemy, burning some of conquered military buildings to free up soldiers can and will help, otherwise you'll find yourself without reinforcements on other fronts.
I've currently beaten Europe, Africa and South Asia. Europe was the most difficult map in my experience but also the most satisfying. If you like to conquer the world, I also recommend Rome: Total War and the Hearts of Iron series. Feel free to recommend me other games in the comments.