Should I use paint or a Warlight software to create a map?

By the way, I'm planning on making a WWI Europe map.

You should use any SVG editor (for example Inkscape) to create the so-called vision - pretty much a drawing of all territories and decorations (if you want any).

Once you have the SVG, you'd use Warlight's built-in editor to create bonuses, connections, name territories etc.

See the Help tab and "How can I make my own map?" for detailed instructions.