To enjoy Heroes, you need to develop a strategy (primarily!). Then, hone your combat skills on the battlefield, and the game will naturally unfold. When I played Cossacks, I always used a large army, but that tactic doesn't work in Heroes. Another important factor influencing the battle is your main hero. If you haven't leveled him up properly, you can forget about winning decent battles (especially towards the end of the game). Therefore, I recommend downloading a skill tree for Heroes 5; it will help you!
P.S. Can someone post a link to the skill tree on this forum? I have it, but I don't remember where I got it from. :o