How many and how quickly?Edit
Build as many as possible as fast as possible (because each one gives you a "free" bell and cross each turn) but watch out for attackers.
If no threats are apparent, keep on expanding.
Which buildings are most important? Edit
It depends on the site, but most sites want a lumber mill fairly early so as to speed building of other things; if you have a fish bonus (or just ordinary ocean but few good food-producing land tiles) you will want docks early; main export ports and big inland producers need warehouses unless you have a large number of wagon trains (and there's a limit on wagon trains: maximum one per colony); colonies with large food surpluses will make good use of stables.
Should you process material where it is extracted?Edit
The place of processing is not very important, but being close to markets is a factor.
For example, if the only nearby natives who are really keen to buy coats are near colony A, build your fur factory there; and have a blacksmith's shop near ore producers and near an armory (but best not in the same colony because of population constraints: each building wants three workers for maximum efficiency).
Dealing with nativesEdit
Destroying native villages is usually short-sighted false economy. Trading with them, and receiving gifts from them, is likely to be much more profitable.
Learn from them. Some skills can be learnt only from natives. Here again, only the first teaching request is granted, so go first to the settlements close to other Europeans. Once they have taught, their settlement screen should say "None" but may say "Unknown" just as it did before you scouted them, so it pays to keep a separate record (e.g. a Word table or spreadsheet) of who has been visited and learnt from and what they are likely to want to buy.
Modifying the game to have no nativesEdit
If you want to simplify the game, try the "abartels" method at https://sourceforge.net/forum/message.php?msg_id=6352353. The method involves some manual work on the specification files.
Ultimate aim of gameEdit
You have a choice of "victory conditions" at the start. One is to eliminate all other Europeans. The standard method, however, is a declaration of independence and the defeat of the King's army that tries to take back all of your colonies; you cannot declare independence until your total rebel sentiment reaches 50%.