I had the same problem. Here's how to deal with it:
First, download and install the latest patch. Patch 1.08 allows the Tutorial to be saved - it originally was not designed to be saved. (Yes, I know this seems strange considering how long the Tutorial takes to finish).
Second, I recommend that you only play around with the Tutorial until you get a general idea how to do the basic tasks. Once you get past the "make an alliance with Catalonia", the next group of missions take a very long time (you have to explore the entire length of the Med and fight a long range war). In addition, there is a bug saving the Tutorial - when you reload, it tends to credit the current mission as complete, even if it is not. It gets a bit frustrating.
I suggest you stop at that point and start up the Grand Campaign with Russia on Easy/Easy. Russia is pretty simple early on and gets more complicated as time passes. You get an exposure to most of the game mechanics without being immediately overwhelmed. Russia is one of the stronger countries (once it gets rolling) so you usually do not have to worry about making a fatal mistake. In addition, you can makeup for your lack of military training (since you skipped the "war with Malemukes" part of the Tutorial) by beating up on the weak Khanates of Kazan, the Golden Horde, Astrakhan and Sibir.
Have fun.
