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As BiB said, you need to set 'Forced Annexation' to 'on.' Basically, you can forcefully annex another country once you have control over all of its provinces. You have to offer them peace, and you will get the choice of complete annexation. However, they might refuse that offer and try to hold out on you if they still have allies who are at war with you. Also, majors are an exception, as you cannot annex them - you can only take their non-capital provinces.