I'll apologize in advance. I'm currently on year 1766 so I don't remember too many details of my beginning strategy. I started off my building roads/paved roads in all of Russia's regions. From there, I started to spam as much infantry as I could.

Here are some screenshots. One of which shows my overall advance strategy. (you'll have to copy/paste that into your browser, I can't make a url till I have a post) (sorry in advance, i'll fix the link asap)
img172.imageshack.us/gal.php?g=strat.png

I remember having around 10 colleges or so crunching out most of the tech in the 1720's and 1730's. After I researched most of the tech I ended up destroying all but 4, to keep the population stupid and under control. That and I also remember not making a single alliance. At one point I was at war with 10 other nations. My first major expansion was pretty much everything around the Austrian Empire. I didn't bother to take them out until I could attack them from 3 sides. I pretty much only needed 6 fully armies of line infantry to take out most of Europe. The only real annoyance I had was England. This was due to their ridiculous navy. My strat to get to the is pretty sad, but it worked. I just built one boat and took an army over to London. Sure, my boat was was destroyed the next turn, leaving my army stuck there, but luck was in my favor and I was able to take London and establish myself there.

Once I got all of Europe, which was around 1755 or so I beleive, I started to focus all of my attention on building up my economy. Around 1755 I was making around 20k/turn. 11 years later I am making a solid 42k/turn.

At this point, I only need to take over Persia to win the campaign. I'm only 99% sure you can continue to play after winning, so I have 4 full armies on the Persia border, which I'll probably use in 1795. I could easily get it now, but I want to milk this campaign as much as possible. ^_^

To entertain me I've start my conquest to get the America's. I'm currently taking over present day Canada, and am starting to sum up forces to wipe out the U.S. I foresee the battles with the pirates down in the Caribbean to be annoying. Seeing that they have seemingly unlimited navies, compared to my grand total of 7 ships (all brigs, lol)