Might I suggest the following, for setting up your first few games...
Ignore the overall game difficulty. Instead, edit the individual profile of each of your AI opponents.
Go to the "Personality" tab, and turn their "Natural Abilities" all the way up to the max (+50%). Then turn their "CPU Usage" up to 100%. (Or set all AIs to full CPU usage in the overall game settings.)
These settings will make the AI as smart as it possibly can be.
Now, to keep from getting your butt kicked instantly, turn each race's "Financial Resources" waaay down. Try starting at about 50%, or even lower, at first.
This way, you can play a game that's not that hard, and allows for lots of leeway to learn, but it'll still be against opponents who are SMART, instead of braindead ones that just sit on their homeworld with their thumbs up their butts.
Much more fun that way, and a better learning experience, too, I think.
Note: Do not change the Game Settings Difficulty slider after editing your opponents, or it'll reset all of them to default values.
Additional Note: The game seems to consider a setup of maxed AI with 50% resources to be "Challenging".