Remember this is a 4x game. You need to use strategy in depth, because everything has long-term consequences.
Research is colour coded. Red is weapons, purple is defence, blue for tech, yellow for diplomacy, and so forth.
As you research, you carry up these trees. Pick ONE weapon tree to be your main (I usually do this before the game really gets going, and only change if everyone is researching against me). And work on techs to develop your strategy, but as a rule of thumb try and keep the econ and factory techs either the same or econ ahead.
You have to build your first factory (or three) to get things going. Remember also your homeworld has a built-in farm, so an entertainment center and a market to replace the farm is a good idea. Econ centers generally take precedence over farms, unless you have a +18 uber world of death delivery.
Highlight the flagship, and click w. (I think). Or if not, click the little i in the corner, to the right of the ship name, and set to auto-survery. It now flies around getting you anomalies like cash and bonuses. Send your colony ship exploring, and try to colonise a decent planet (I rarely settle for less than PQ10). All the while, rush-buy colony ships and get them moving to colonise your empire, but be careful not to let your capital's population fall under 2.5 billion. While doing this, you use the sliders. At the beginning game rush, I normally turn social up a bit, and work at 100% capacity, while taxing for 100% morale. I lose a fair bit of money at first, but if I can survive, I'm set up.
Then evolve your playstyle. Work on weapons, or diplomacy, or economy, or tech, or whichever suits you best. You'll need some of all the trees, but generally it helps to have a decent standing army, just enough to not be the weakest.
Other than that, there isn't much more I can think of for starting the game, so just dive right in, and prepare to be beaten senseless by the AI for a while