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</font>How the heck do I take over capitals? I can't take over granada or Lisbon. When I was spain
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You have to have a large enough force to lay siege (about size 5 or above, and have cavalry and guns). After the siege, you control the province.
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When I invaded the iroqois in north america non of their provinces became mine in that I couldn't build anything upgrade them.
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This isn't Civ2. You can take control over a province, but can only own them through peace negotiations. The Iroquis, you need to take their capital and another two or three provinces, as well as destroy their army. You can then annex them. Or, you can demand provinces (not the capital) as tribute in peace negotiations. Also, provinces you take over may just be colonies and not cities, thus you cannot build in them yet.
Another thing to remember, you can't annex great powers (at least without tweaking the game).
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How to I get a cassius belli or whatever so I don't have to have an extra -2 stability?
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You can't always. You can try to provoke another nation into declaring war on you. Ruin your relationship by insulting them diplomatically.
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How do I convert the protestants back to catholicism or the heathens to christianity? I can't seem to send colonists there as it says in the manual.
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From what I understand, you can only send colonists to provinces with less than 5000 people. But I've seen inconsistancies, so I'm not too sure about this. Never had much problem with this. Just keep a good tolerance for the protestants and build Cheif Judges to keep stability.