1) In order to colonize additional province, you first need to research Centralization. You can find it in Researches -> Economy.
2) You will need to start saving your army. It is basically done by sending them somewhere when you see an attack.
The best is to send them to a goldmine (a player who has gold icon beside his name), it means that he/she hasn't logged
into game for more than 7 days. So attacking him results in no penalty for you. Or if you have more than one province, just
relocate them to other province, so they don't get hit. Its done from Command Center -> Deployment -> Relocation menu.
You select your soldiers, then enter the province number you want to relocate them to, and press on "Move" button.
Relocation costs money, but its fairly cheap. With starting minimal army it may be even below 100 gold.
3) Spying a potential victim is essential, since rumors give the most uncertain information, while spy reports most reliable one.
Once you choose a victim, click on blue round shaped button beside his name and it will move you to espionage menu, where
you will choose which of his provinces you want to spy.
4) Depends how long the era has been going on. If it is new era and everybody around have fresh start, it is possible that
a particular player hasn't researched border outposts yet. Even if he has superior outposts the only thing he will get is a notification
that you have sent a spy.
5) Finding spies is performed from Counter-Espionage. You can find it from Command Center -> Espionage -> Counter-Espionage.
If enemy's spy is more than 2 levels higher than your border outposts, you will not be able to see his name, so his name will be
shown as UNKNOWN. To capture and kill the spy, press on "Capture all spies" button.
In depth explanation of Espionage and Counter-Espionage can be found here:
http://forum.imperiaonline.org/int/index.php?topic=25.0