There can't be too many Italy AARs
The other thing to try is you have some commanders with a detection trait (the game tends to swap your command pool every 15 or so years), so they might help.
You get a batch of colonial cards when you unify which are enough to build up your colonial penetration. You remain a bit limited in this respect as the national trait for Italy is 'regional' not 'global' (I forget the exact wording) but its no real barrier, just that if you are in a race with another power like Britain or France you could lose out.
The first three exploration types are pretty much interchangeable. They build up your knowledge of surrounding regions by revealing either more of the map or raising colonial penetration. Protect them with troops if you can, it is really frustrating to lose one that is say a single turn away from yielding the results due to hostile locals. The chance for success is relatively low, so you need to keep on playing them till one 'sticks' and then the clock runs down till you get the results (I don't think there is much you can do to raise the success chance). Prospecting is a little different in that you can play it in provinces you have already explored as it may reveal new resources that are not clear on the map at the start