So you enjoy MTW more than the newer RTW, huh? Don't worry, just relax and enjoy it, it's perfectly normal to feel scared and confused... :)
I just have to echo the sentiments made by earlier posters; when you're comfortable with the game, do try out one of the many mods: BKB's SuperMod, XL, MedMod, there's even an ancient mod called Hellenic Total War (though, I do wish the map was bigger and the units more balanced, but, c'est le vie.)
Don't forget to read the MTW guides if you're stuck; I've found them to be a superb resource. To paraphrase another poster, the game's starting difficulty levels have been rendered moot simply because a specific set of opening moves have been developed and perfected for each faction. Of course, that doesn't mean there aren't new things to try.
For instance, start up as the Turks, gather all your troops together and just leave. Start a steppe empire in the area above the Black Sea. Or keep going and boot the Danes out of Scandanavia. Or muscle your way through Egypt and set up shop in North Africa. Conversely, have you ever heard about an English empire based in the steppes? No? Try it out!
Edit:
Zarax's mod, too. I'm sure there's a few others I haven't mentioned, and I apologize to said mod developers in advance.
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