Australia is a good place to start. If I remember right, there are fewer countries that border it, so you have less to worry about. Conquer the adjacent countries and work your way out to the other countries. Your home country of Australia will be safe.
It depends on your board position. Generally, it’s a smart strategy to mass your troops on a continent that’s easily defensible once you own it, like Australia. South America is an ok bet, too, or even north america, if you have the right countries to start. Never try to take over Russia—many a risk and real world general learns that the hard way. It’s not bad to have a piece of it, though.
South America usually the best (or North America if there aren’t many players). Take South America since it gives you the option to go to North America next. If you have both it’s only 3 borders for 2 continents and 7 men at the beginning of each turn. It’s far better than starting in Australia since you don’t have to travel through Asia (or try to control Asia) to get another continent.
Australia is the best place from which to start a world-sweeping advance. If done correctly, and with enough armies, you won’t get “boxed-in” and have to stop.