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Alternatively, you can click on a province and click on the "+" Factory button there to build the factory in that region.
Note that not all political parties allow you (the state) to build factories. Only parties with "Planned Economy" or "State Capitalism" may do so at will.
However, most nations are a Monarchy of any type, so in Politics you can click on the governing Party (left in the Politics) and simply choose a new governing party with an economic policy of State Capitalism.
Also as you are a beginner: Note that Factories are just buildings. They do not produce or do anything at all. They only offer "workspace" for Craftsmen to then work in, to produce Timber into Paper in your case.
To properly industrialize you need many Craftsmen. So build factories in your most populated areas first and use the National Focus "Encourage Craftsmen" in those regions. Keep also in mind that you first need a high literacy before people can become craftsmen.
In general: More Literacy -> More people become craftsmen -> More industrial production. Also: More Literacy -> More Research points, so this is a super important value (and why certain nations lack behind until much later in the game, like Russia, Austria, etc)