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Wasteland cannot be colonized or traversed, but if you own the majority of the provinces around them, they will show up as owned by you, although are still not traversable.
Kinda depends on your plans for the run and what country you are. It is Expansion in the Admin Tech or Exploration in the Diplo tech. You can get the first ideagroup @ lvl 5. Exploration also gives access to explorers and conquistadors to explore the world. This gives some nice events and can help build up prestige fast. Good luck :)
Edit: you can send your colonist(s) to as many provinces as you like but the monthly buildingcost will increase exponential with multiple provinces building.
* The first idea in the exploration idea group gives you a colonitst, whom you can use to colonize provinces that do not belong to anyone yet. (Place some troops on the province you want to colonize, otherwise the natives might spaz out and destroy your unfinished colony).
* The second idea in the exploration idea group gives you access to conquistadors, who work just like generals and whom you can use to enter unexplored terrain in order to lift the "fog of war" from it.
Normally you manual do this by just sending the unit somewhere. Remember however that your ships need to return after a while because they will lose durability over time. With the El Dorado DLC you can also make this automatic. I personally prefer the old tedious way though, but thats me.
When exploring the time to reach a unexplored province or sea takes way longer (double or so) then normal (use the light ships). Depending on how high the maneuver of your leader is you have a chanche to explore surroundings aswell. In new provinces you might however have to combat the natives. Earlygame you might want to send a few infantry troops then because of the lost manpower or larger size of natives in certain provinces.
You will get there eventually learning the game. Just do some playtrough with relative easy countries at first.
Expansion ideas are generally good for Land-based expansion. Like nations in Asia, Africa, or the New World natives. It works well if colonization isn't your main focus, but you still have a few areas you want to nab.
Exploration is for overseas colonizing, or if you're really serious about expanding... but there's not really enough old world provinces to justify this if you don't plan on reaching the new world.