Watch a video of what a pro does in the first 2-3 mins and it sets you up well for the rest of the game. I used to get thrashed on hard but after seeing what they do and learning how to play the beginning of a game well, I can just about take on 3 of them solo.
EDIT: RTS doesn't really do strategy (ironically, I guess), at a push total war does but even then it's low level. It's great at tactics though which arguably is the fun bit anyway.