I'd start with a country that doesn't have that much going on and can mostly just do it's own thing like a nation in south america or countries like portugal or belgium, these are fairly peaceful and small nations that can do their own thing by industrializing and doing some social reforms. IMO you'd best stay away from building communism at the start because countries get really pissed at you now and I'd stay away from countries that start with a huge amount of problems or things to do at the start, so Qing, Prussia, Japan, East India Company, any italian country. Just figure out internal politics and internal economics and you'll learn quickly.