Opening Moves
Definitely move in on Denmark. Securing that strait is important for anything Sweden does, since all of your trade goes through those straits. For me, the first step was getting as many trading contracts as possible. In the start of the game, you have enormous reserves of fur to trade, which is only rivaled by a few posts in Russia or Canada. Use trade funds to bolster your army and move into the Lithuania area. Try to avoid allying with Prussia, Austria, Russia, or Poland (they don't really like you anyway). Poland will usually attack you first, and they're easy pickings. Use Indiamen to grab some sugar profits off South America

Middle Game
Usually it's best to get a trade agreement (and large army) with Russia. You get about 1K profits from them every turn for fur and general trade. They don't want to lose that income. In Poland, wipe out Poland ASAP. Use Protestant missionaries to subdue the Catholic populations of Poland, and large armies to keep the Prussians at arms distance. You could even ally with Prussia, but it's difficult to balance the need to take Brandenburg and the numbers of Prussian troops. Hold off until you successfully pacify Poland. Once you get Poland figured out, you can launch a multi-pronged assault from Sweden/Denmark/Poland and overwhelm Prussia, grab the "Baltic Ring" as previously mentioned.

Late Game
In my game France fell to Netherlands/Britain. Take some troops and grab "Quebec" and other territories to get a strong monopoly on fur trade, maintain good relations with Britain, Netherlands, and Spain. All three essentially control the seas. Now is time to take out Russia. Move into Moldavia, Belarus, and build up troops. Launch troop columns into Russia, take out Crimea ASAP. Remove their connection to the outside world quickly, cut off their trade. Next is Kiev. The large size of Russia prevents one from really taking all of Russia, just as long as you smash into Moscow at the end, you've essentially won, since your provinces are all captured and you have the requisite number of provinces.