Welcome LinkExe. You have a fine selection of games, but Darkest Hour has little in common with any of them. For one thing, DH mainly concerns world war 2, there are mods that change that but vanilla is mainly WW2. You are dealing with a much shorter timeframe. May I ask if there are any specific questions you have? I am surprised you had trouble with Sweden in vanilla unless you attacked. If you just stuck to yourself and tried to learn how to build ic, infrastructure, troops, ships, etc.... You probably would have been left alone by the AI as Sweden is neutral. France and Norway are both a hard start if you are new. There are strategies to win, but if you remember WW2, Germany rolled over France very quickly.
Anyway, IC is your industry. You need it to build stuff. It has other functions too, but for now let's just understand that you build everything with IC. You build troops with ic. They need supplies; ammunition, spare parts, rifles, etc... all built with IC. As for the "mechanics", there is a guide and a pdf of the developers diaries saved inside the game.
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My suggestion as someone completely new to the game is to either jump in with both feet as Germany and follow history most of the way; try not to lose lol. OR play as a country that will not be bothered. Brazil maybe. The only issue with Brazil is that if you attack your neighbors, eventually the USA will come calling. Read the guide as you play. Use your mouse to check things out. You can learn a lot from the tool tips. Follow your decisions as they come up. When you get stuck, come back and ask questions. This is generally a very helpful community who loves this game and will be happy to help you.