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You're probably already a bit overwhelmed with everything, no need to add more issues on to that.
Ottomans, france, england, spain. All safe choices to learn how to play. I started with China but it looks like the latest patch has nerfed them a bit, probably not a good start now.
(picking a european nation will help with institution spread too, eastern/southern nations have a hard time playing catch up if you don't know what you're getting into)
Other than that, it's likely you missed your window of opportunity for rigging the results in your favour.
You can try and get support for your independence in diplomacy from other powers and in general finding allies who will be able to help you.
But if you're already about to be attacked you might be in the wrong place to get things working.
Light ships do generate bonus trade income, but you first need to have a good trade node to protect that trade in.
Yet another big part of the game that isn't easy to learn.
Early game it's a good idea to find a smaller and weaker nation than you and conquer them to get a little boost. Fighting an equal war means you're in a bad position, never fight on equal terms if you can help it.
Scotland might actually be a good enemy to bully as Norway and if they attack you without any allies supporting them you might be able to win. Norway has a lot of mountainous terrain combine that with a sea landing and you're looking at a decent chance to win battles against them if they do choose to invade you.
This does depend on if they have France supporting them or not. If they do keep your navy around to block land access or naval access from the French. In general the AI can be a bit unpredictable with naval invasions so you might be able to survive it, especially if France is at war with England who likely have smashed their navy to pieces.
A lot depends on your situation at the moment, i'm afraid you might want to restart as Norway or pick an easier nation to play as. Eventually you will get through these issues but there's a lot to learn here.
Economy:
So Norwegian land sucks. Pure and simple. It's got low development, bad trade goods, etc.. Basically, you are a poor nation (No oil yet lol).
Trade is very nice in EU4, however your problem with it, is that Norway Shares it's home port (where you collect trade income monthly) with Denmark and North German nations like Lübeck, and they will (together) have a much larger portion of the trade power in the node than you will. On top of that, your node feeds into the English channel node, so nations over there are also pushing trade their way. Which means you are basically left with scraps. Trying to get good trade income as Norway in the early game is an exercise in futility.
Forget about building churches early game. They scale with development, your development is garbage. Spending 100 gold to get a monthly 0.15-0.20 isn't worth it in the short term. Best case scenario, it will take about 500 months just for the church to pay itself. You are better off hiring mercs and taking provinces in war.
Forts... Don't build them if you are poor. It's a huge drain on your economy. In fact, delete the forts you start with. Keep maybe one of them if it's in a nice "bottleneck", but mothball it while at peace.
The only ways for you to get nice income this early on as Norway, is to either conquer stuff, or manually increase your development (mostly tax income). I'm not sure anymore, but I think manually increasing dev comes with a DLC. It's not the best option anyway, it's better to conquer stuff.
All that Being said... Don't worry about taking loans. Take them, use the money to crush people in war and make more money to pay back the loans.
War:
About Denmark... First thing you want to do is check who are their rivals. Then improve relations with them, and ask them to support your independence. You should also do the same with Sweden (so you both rebel against Denmark). Once you have enough support, declare war for independence, and quickly move towards Sjaelland and other rich Danish provinces, you want to be the one who takes them, but be careful to not get wiped by the Danes though. Once you've secured provinces, just sit back and watch your allies finish the job. When you peace out, don't forget to select independence in the peace deal, and then as many provinces as you can.
You should do all of this as fast as possible at game start.
After you gain independence, You have many options. You can attack Scotland and Ireland. You can break alliance with Sweden and attack them. You can use Iceland's "colonial reach" to be one of the first nations to colonise America. But first and foremost, your focus should be on finishing off Denmark and then start increasing your trade income.
Well, game being hard is not really a big issue for me. Figure out how it work and do better is more important. Start in a easy position doesn't really learn you how to play when it get harder.
How important is tech to start with? Is it better to use your points to develop your country, rather than save up for churches and things that might take forever to earn itself back?
When playing as Norway, and still under Denmark, before succession. I can't war anyone though. So have to become independent first.
For the techs, military tech is the really important one, especially around that 3-5 range at the start of the game. Being even one tech level ahead of your enemy will let you crush them.
Norway has such a poor economy that I recommend disbanding your cavalry units at the start. Replace them with infantry when you can. Cav kinda sucks in this game anyway. (Cav is better than infantry, but not 2.5x better and it costs 2.5x as much)
Issue is I can't wage war or get any new terretory before I get independence from Denmark though.
The hardest part is that Denmark's capital is on an island and they tend to block the crossings with their galleys. You'll have difficulty getting enough warscore to be able to demand independence in the peace. You may be able to use cogs to sneak some troops onto Jutland and take that part of denmark that way. Or walk all the way around the baltic, which sounds silly but is actually feasible.
If you have the Conquest of Paradise DLC or El Dorado DLC, you can also ask other countries to support your independence. England is a good option because it has a strong navy and tends to rival Denmark.
Norway is a rough start though, and there's no shame in picking a more beginner-friendly country. It's going to be plenty hard with any country.
I guess that explain why I didn't find any options to support independence in diplo.... What I hate with these paradox games is "cash please" for what seems like should be core game mechanics. Sigh :/
No idea if it was a bug, but in the settlement, it was said that Sweden would gain two islands from the Danes, but that never happened though.