I have never won a sp game...

[Endoperez]

Sorry for writing a post this long!

What kind of armies did you build? Did you just recruit slow, lumbering Heavy Infantry of Ulm? Or did you accompany them with e.g. Archers? Archers, cheapest indies only costing 3 resources, can be produced in large quantities. They also probably won't hurt your Ulmish troops, unlike your own Arbalests!

Did you use Black Knights? How many? They can be very powerful troops, but they are also expensive. Using few of them can help your armies, using too many drains out your money.

How did you use your Master Smiths? Did you use Earth Power from Conjuration path? Did you make Earth Boots from Construction? What about Dwarven Hammers?
Did you use Evocations? Magma Bolts, Blade Wind or Magma Eruption?

Besides questions, here are few answers:
The horror that attacked was either due to a spell (Send Lesser Horror, Send Horror) or from combination of Horror Mark. Magical province, Misfortune or otherwise bad luck.

As Ulm, using your national units, there is a simple path that works very well: Production 3, Drain 3. A good castle is also a must. Master Smiths are immune to the research-lowering effect of Drain! For the other scales, you could go for lots and lots of money (Order, some Growth), or gamble for fortune (Luck, Growth for money, Order weakens Luck).
While Ulm benefits from rainbow pretender, too much is too much. On the other hand, some combinations are invaluable to Ulm. Also, some Rainbow pretender can be used offensively even early in the game. Quickness, Eagle Eyes and almost any early Evocation can be deadly, and Quickness/Mind Burn is also very good.
Cyclops with enough Earth for Forge of the Ancients can help Ulm immensely. It also works well with Enliven Statues, high in Thaumaturgy.

As you are learning the game, I'd suggest that you return to Ulm. But trying a different nation first, so that you can see the power of some other strategy, can have a huge impact on how you play without them. You might want to try archers/crossbows strategy: Man has Longbowmen and the mages can cast Wind Guide, Marignon has Crossbowmen and the mages can cast Flaming Arrows, Machaka has very cheap Archers and can also aquire Flaming Arrows. Machaka also has Death, so they could benefit more from Enchantment.
All three have cheap mages that can research very fast with some Magic. You don't need as many resources in these strategies, so don't take Production. You could even go for Sloth if you think you cna manage without heavy-armored frontline for the archers. Also, for pretender, take something different. If you had a cheap pretender, like Wyrm /Manticore with little/no magic, take something expensive. If you had a rainbow, go for single path mastery. Else, go for a rainbow. And you might try cheap Wyrm if you want to try having lots of good scales and a good fort.
Expensive single-path mages, for blessings as well:
Marignon, Man: Fire 9 Moloch. Machaka's spider would benefit too, but they already have lots of fire and I usually don't go for flaming spider fangs.
Machaka: Nature 9. Now the Spiders are really bad boys. And they Berserk, so they won't run away.
Cheap, single-path, for a weak blessing and possibly spesific spell or item:
Man: Air 6 - if you use Wardens, they are protected from missiles. Your Mages also benefit.
Man/Marignon: Earth 4/6 - Reinvigoration and sacred mages is a good combination.
Man/Machaka: Oracle with Astral 4-5 - blessing isn't great, but Astral has lots of interesting spells. In addition, if you can afford Earth as well, you get interesting items and boosters with Earth/Astral combination.
Machaka: Death 4-5 - blessing isn't very useful, but your mages already have some Death, and some spells can be cast more often (Raise Dead) in battle, others benefit from higher path (Undead Horsemen), and this really makes Enchantment useful for you.

Try using mages in fights. Machaka has EF casters, they can do Magma Bolts. The other mages also have their uses, but you might be overwhelmed with the many directions available to you. As Machaka also has well-armored Hoplites, it is quite similar to Ulm in many accounts, you probably feel most familiar with it. PD is very weak, though, so you have to find other ways of defending your empire.
Marignon starts with Holy Pyre, so you can use your mages or pretender in even the first battles. The troops have good weapons, but ony Man-at-arms have shields - and with you crossbows, this means they won't survive as well as your Ulmians. You can also go for for either Evocation or Thaumaturgy - Fire has pure damage, Astral goes through armor but is blocked by magic resistance. Don't forget Conjuration and Phoenix Power, nor Alteration! Phoenix Pyre can be fun, Incinerate is deadly, and you get Body Ethereal. PD is Crossbows, and very similar to Ulm, and also has priests in the case your enemy brings undead.
Man has Longbowmen, which are very good. The melee units aren't very good, but at least they have shields. You also have limited Stealth capability - Monks are stealth preachers, Mothers can sneak, Wardens and Lord Wardens are stealthy... If you happen to find a Druid province, or even a Brigand's Lair, add stealthy archers. This works better with offensive blessing, of course. Man also has weak PD. Nature is quite supportive path, but Air has some powerful Evocations. You can go for many directions: Vine Men/Ogres (Mothers+Thistle Mace+Vine Crown is expensive to set up, but pays back), Call of the Wild, supply items, Firbolgs, regeneration...