I agree with what Sutek wrote as well. And congratulations on picking up this game, I think you'll enjoy it. You'll notice when you read the rules book that there are some big differences between
Conan and
D&D v.3.5. As you may have noticed, there are hundreds of posts to this forum, but if you take your time searching the posts you will probably find most of the answers within the various threads.
A couple other threads similar to your question can be found here:
What should I buy next?[url link not working for this thread], and
recommend supplments after the core rulebook?
As far as countries, things like that, I guess I'd say that as someone new to this setting (and the stories it's based on), go with the source material you picked up. If you got
Across Thunder River, that's a pretty full campaign setting for the western border region between Aquilonia & the Pict wilderness, kind of like colonial upstate New York setting in the
Leatherstocking Tales by James Fennimore Cooper (Last of the Mohicans). This book is part of the region of
Aquilonia, so if you got that book then it's got plenty of information on that western kingdom.If you got the
Shadizar boxed set then that city setting will give you a bit of resources, adventures to use, etc. (Be sure to order the corrected map from Mongoose, as the one in the boxed set was for a different game and does not fit this world!!). The same for the
Messantia boxed set. Or if you got
Tales of the Black Kingdom, that book has several adventure ideas for the African-like settings south of Stygia. Not knowing what you picked up, I'm just offering these as suggestions.
Every gaming group's style is different. The stories this game is based on were fast and loose, dealing with Conan, a barbarian who got caught up in a lot of political struggles but himself had little scheming. He ages almost 30 years throughout the stories, told in an episodic manner, usually begun
en medias res. Magic is VERY different, combining both the D&D like spells with new ones, but magic users are very different in both approach & style, more like the Midnight campaign, and personally speaking I feel they're better left as NPCs or villains, but many groups play them just fine according to posts on this forum. I'm trying to cram a bunch of advice into a quick response, but hope it helps. Feel free to follow up with any questions you might come up with. I'd also recommend getting some of the Conan stories by creator Robert E. Howard. There are many printings to choose from right now; and someone even posted "The Tower of the Elephant" on the internet.