It's a little confusing and I'm hoping that they'll rename those tabs.  The MULTIPLAYER tab is for LAN games.  What you want is the IRONCLAD ONLINE tab which is where the games that are organized on the official server are set up.  When you first click the Ironclad Online button you'll have to create an ICO account and choose a player name, but it's not a big deal.  Good to hear that you're interested in playing online.

Are you seeing other people in the Lobby?  What time are you coming on?  Most of the online activity is during European and North American prime time (2 pm U.S. EST to 11 pm).

Also, did you install Entrenchment?  If you installed the Entrenchment Beta then you'll only see other Entrenchment games and not the normal v.1.12 games.  (Solution--use a v.1.12 install or reinstall to v.1.12.)

It will be tough at first, but if you study other players and read the forums you'll pick the game up relatively quickly. Just learn what units counter each other and everything stems from there.

Yup, newbies easily get just trashed in MP, if you don't at least know the basics and have supportive teammates. There's a few people out there that have 400+ MP games on them and are very good at what they do

If you're not up to the weeks of rigorous SP/forum training Centurion proposes, you could just look up a Newbie thread on the Multiplayer Organizer forum and jump in. Personally I still prefer SP or human vs AI games because the challenge is precisely manageable in those, but you still can get benefits of teamplay. Not to discredit what Centurion says about a learning curve of course - this game has a few tricks and mechanisms which you would never expect, so learning those and the (for real) different factions (know your enemy too) is a necessity.