Supposing you are the one that read all manual and are trying to teach your group and enjoy their first game of Conan, you could follow this, and then tell me how it went out.
Start with just the basics: Setup army units, explain neutral, friendly and enemy provinces. Setup the adventure deck, explain Conan mechanics, determine Conan player using just the bidding tokens. Take a blue die, show the military icon. Throughout the first adventure, use just military actions. This will be a good start since you are using Conan (will satisfy the ones playing because of the theme) and people that know Risk (War, in Brazil) will perceive similarities but see that it´s not quite the same. If it is a 2-player game, use Aquilonia and Turan and leave out sorcery tokens (not really confusing, but this first adventure should be really simple – leave it for the moment when somebody got a really bad roll). Side effect: all the adventure tiles will either be discarded or go to Conan player. Better not mention gold or sorcery exchange, because it´s not useful yet.
Then, add the politics: Do change of adventure, then setup emissaries (2 for player) and distribute initial gold, since maybe someone will collect gold through intrigue. Show the blue die icon for intrigue. Do just intrigue actions for three steps of the second adventure – should be enough for covering all intrigue actions issues. Remember to mention savage provinces restriction. The remain of the adventure, turn the die icon to Conan+Court and perform just the Conan actions. Explain the raider tokens use and that their effect would be wanted on enemy provinces – make sure no one confuses them with savage provinces or the axes in red dice which use almost the same icon but are unrelated.
Next, introduce Strategy Deck: Now that everyone is comfortable with Bid for Conan, military and intrigue contests, distribute 2 strategy cards and explain the modification to the mechanics. For the next adventure you can start using the fate dice as usual, all actions can now be performed (except getting kingdom cards as Court action).
At the end of first era: make sure you gave Empire Points for each fort/city players achieved. Resolve any raider as usual. Then, introduce the objectives deck, draw the four objectives at random and see who got lucky. Next, everyone will understand the use for their gold. Next, the purpose for adventure tiles – it´s the time for the artifact cards.
What´s left? Kingdom decks: By this time, everyone should be comfortable with all major aspects of the game and, probably, with less confusion than otherwise. You can decide to either continue normally the game, or play three more ages (ending up with 4) or start it over with all the rules from start. Even if you start over another day this tutorial session alone should be enjoyable. I left out the kingdom decks for the end because they are the major chaos-factor in the game, they have their particular mechanics complexity and will only make sense for those that know all the other rules. Since it is language dependant AND private information, is the part of the game that needs more advanced (and grown-up) players. Depending on your group, Magic: the Gathering could be a good reference for explaining it.