Thiosk has good points, and I thought I'd expand on them to give the reasons for why they are important.
My number 1 priorities: terraform and colonize mars
This gets two main things started. First it increases your population, since more people are born on empty worlds. This is important so that you have more workers (though you usually aren't short on those) and so that you have more tax income. It also gets your shipping industry started and making money. This is important because it makes you money, and it means that they will start to buy more ships, which means that they will be able to help subsequent colonies grow much faster, which is vital. You will probably never have a problem where you don't have enough total workers in your population, but you will often have that problem on newer colonies. The faster they get out of that state the better.
establish a mining network to bring goods and materials to earth.
This is probably pretty self-explanatory in why it is important.
Try to build asteroid miners and freighters.
This is important because of the flexibility that it gives you. You are going to need to frequently reshuffle your industry as you mine out various asteroids and other bodies. Asteroid miners are a great way to quickly move your mines from place to place. They are also the cheapest way to create mines from a Corrundium standpoint, and Corrundium shortages are very common in the early game. Note that Asteroid Miners can only mine Asteroids and Comets, not Moons and Planets. Freighters are important, 1. to move your stationary mines around, and then for everything else that needs to be moved around. For a long time in this game Earth will be your manufacturing hub, like Europe was 400 years ago. Everything you build there will need to be shipped elsewhere, especially early on when the civilians aren't up to making all of the infrastructure shipments.
Later you'll have planetary observatories to transfer, possibly PDCs, terraforming stations. Once Mars is terraformed if there aren't a lot of minerals there to warrant using the population to work in the mines I'll move most of my Research Labs there.
Once you can do that, you can either keep playing, or start over with a better basis for understanding the game.
I played about 3 throwaway games before I took one to greater than 50 years.
Same here.