-I have a jpg file (like map of europe)
-I convert it to a tga format file (why!?)
TGA & RGB are the image formats recognized by the game engine. Different image file types store the image data in different structures. To put it another way if one is working with square holes, you need square pegs, not round ones. 
-I place borders, extra graphics etc, just for HUMANs (I mean Dominions software doesnt care about borders etc)
Correct. The game doesn't care about borders, but it makes life easier for us humans. Drawing borders is not a requirement. It is worth noting that making the borders red (255,0,0) will help the map editor guess borders a little better. Still not 100% accurate, but better. I could go into a more technical explanation of why, but I will just leave it at that.
- I place A SINGLE PIXEL which is completly white (RGB 255,255,255) in each province. (how do I do this?)
Depends on which graphics editing software you use. I use GIMP. Generally, you can use a brush or pen with a size of 1 pixel and draw the pixel in the center of the province.
-Question: how a computer knows which pixel is which and in which province?
The game reads the map (pixel by pixel) starting in the lower right hand corner. Right to left from bottom to top. Each pixel is tested for color. The first white pixel becomes province number 1, the next province number 2, etc. The coordinates of those provinces is likely stored with the province data.
-How do I number the provinces? According to raws? Columns?
Let the map editor worry about numbering the provinces. Load the map image into the editor then save the map. It will create a ".map" file with whatever terrains and neighbors you have set for the appropriate provinces. See the explanation of how the computer knows which pixel is what province for more information.
-I create a txt file, in which I use command like neighbours etc, so the Ai will now where are the connections
Again, use the map editor for setting neighbors and creating your base .map file.
-I change this file from txt extension to .map (why?)
-I am removing bugs
The file type and contents are still text, but the game looks for files with the extension .map in the map folder. If it looked for .txt then you might inadvertently have a map listed in game creation called something like "ReadMe" which would likely crash the game since it was not a file intended to be seen as a map.
The "adventure" map:
when the previous one is working, I am adding special sites, starting positions etc
Yes. But it is worth noting that you do not want to load a scenario/adventure map back into the map editor and then overwrite your hard work as the map editor will not retain the added commanders, sites and other unsupported map commands. If you need to use the map editor again on a heavily modified map, I highly recommend making a backup before loading it into the editor, and then after saving any changes, go to your backup and copy/paste the additional content back into the resulting editor file.
So it seems pretty easy - question is how to make those extra white pixels, how to give them numbers etc
It is pretty easy. Easier than it sounds once you get the hang of it. It can also be tedious setting neighbors and such. I am currently working on an alternative to the in game map editor which I hope will make it even easier, but that is a subject for another thread and another time.