This is on "Skilled".
I tried to follow the advice earlier so all I did was capture provinces as fast as possible. Once I had them all the only way to go was to the enemy. But as soon as I triggered him he just took all my shit and I could never kill a single of his provinces.
Do I need to spend more time grinding exploration events?
If you just captured provinces as fast as possible then you may not have leveled your main hero as much as you could have. I like to clear a fair amount of sites to give my hero a boost in level and get some additional gold. Goblins, undead and brigands close to your main fort are usually reasonable options. It's especially nice if you get some easy revealed sites in your main city.
Expansion is good, but think about it. If you lose 60 gp of units to take a swamp that gives 3 GP per turn, that may not be so helpful. Maybe you could have cleared an easy site and gotten 50 gp and a magic item instead?
If your main hero is substantially weaker than the AI's main hero then you may get slaughtered, so try to avoid wasting turns. I'll second the advice that the warrior and scout are the best main hero choices early on. Get a few levels under their belts and they defeat several normal units per battle.