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Have you got tips concerning protestant side ? I feel really weak against catholics. I manage to trigger moravian renfort, but after that I have to stay on a defensive attitude. Supply issues prevent me to push against Wien.

Well from what play I managed over the past few days, both sides are essentially limited at the beginning. Both have a problem of assembling an army and are best served by staying on the defensive. There is very little chance of a blitzkrieg happening, and the supply situation is another limiting factor. However, time is on the side of the Protestants as the map is enlarged, more and richer Protestant territory is uncovered (plus additional armies).

I've played both sides though I prefer the Catholic side. Having said that, the Catholics only become dangerous when the Catholic League armies come into play plus the Spanish intervention. Thus, my initial strategy as the Protestants is the following and primarily defensive -

a) take Pilsen
b) following that, concentrate all your forces under Mansfeld - he's the only capable general you have initially.
c) dig in Prague for political and supply reasons (Prague produces enough supplies). Apply the 'dig in' card to your army there as it gives decent bonuses and continue building up you army
d) unleash Bethlen Gabor and send him straight to Brunn for the Moravian forces which are then sent to Prague as well. They are too close to Vienna for a counterstrike to remain in place. BTW I keep Bethlen Gabor independent as a sort of mobile raider based in Pilsen for when the map expands - the rapidity of these horsemen makes for excellent raiders
e) wait for the catholics to batter against your defences and pounce on any weakened/isolated force
f) wait for the Danish intervention - the money and resources unleashed will give you a chance to build a massive army overnight

Hope that helps. Keep in mind that as the map expands, both sides get roughly equal forces added so management of resources is key. The catholics are relatively strong (once the League intervenes that is) but have several limitations namely that they only have a limited number of good generals, must conquer to survive and expand their forces and receive limited outside help. Thus, limiting or slowing their land grab initially would cripple them in the long run.

Thanks for your complete answer. But I think you talk about the campaign, because in my game I didn't see Danish one single time.

Indeed I was talking about the campaign. For the scenario though, a concentration of forces plus a defence/offence still is doable. Wait until the AI launches an attack on Prague in winter when it will weaken itself and then counterattack