The manual describes this, but it's not entirely clear...
To move troops from one province to another by sea you must -
a) have a port in the province you wish to leave from
b) have an unbroken line of your ships (ie. at least one in every sea area) between your province and the province you wish to attack.
c) no ships belonging to the faction you are attacking in any of these sea areas
With Denmark (post-conquest of Sweden/Norway) a good tactic is to invade Britain and conquer that, thus allowing you to hold a lot of rich provinces with only two choke points (Wessex and Denmark itself). Get there before the French do, you can probably attack the English while they fighting the French (they usually lose, and rapidly at that).
If you decide to go to war with the HRE build up a bit of an economy first (trade is good, and develop Sweden) and then attack them while they're fighting the French (preferably while they're fighting the French and some other faction, Poland or Italy, probably). If you can take two provinces of theirs (Saxony and Friesland, eg) they will probably suffer massive rebellions and you can conquer more land.
Check the MTW Guides section for more detailed strategies...
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