Germany did not want to conquer the entire world, if by conquer you mean "forcibly occupy with Wehrmacht forces". Even Hitler realized this was an impossible goal. Germany definitely did want to establish hegemonic rule over Europe, though. Installing the Vichy government, later fully occupying all of France, occupying the Low Countries, Denmark, Poland, annexing Austria, all of these things were to remove possible European challenges to German power.

Hitler's real enemy, he believed, was always the Soviet Union. Militarily defeating the Western Allies was supposed to bring them around to Germany's anti-Soviet cause, and there was a lot of evidence to support the idea that Britain and France considered allying with Germany against the USSR for a period of time due to the wide-reaching fear of Soviet aggressive expansion. Keep in mind that many nations took part in the Russian Civil War and shortly thereafter, including the US. This coalition invaded the Soviet Union and attempted to overthrow Lenin's government, and obviously this failed, but the fear of communism stuck around for many years afterward. Hitler tried to play on this fear to get allies for the Eastern Front. The endgoal of fighting the USSR was to push the Soviets across the Ural Mountains - "Drang nach Osten", or "Drive Eastward". This was to establish lebensraum ("living space") for Germans in Europe, for colonization and economic exploitation. Slavic populations were to be used as slave labor or simply exterminated.

All of these things come together to form a definitive war-goal of establishing American-style dominance over Europe, with Japan dominating Asia (the Greater East Asia Co-Prosperity Sphere), and the United States tentatively dominating the Americas. I can't help but think that, had this been the case, the United States and Germany would be locked into a Cold War, with Japan jumping on whoever seemed weakest in a possible war. It's a very frightening scenario.

Edit: I should have clarified this a bit more: "Drang nach Osten" was NOT a Nazi slogan. It was a 19th century German nationalism slogan that rallied support for German expansion into Slavic lands. This has been a common slogan for Germany that has signified everything from Hitler's Nazi Germany to the Teutonic Knights and forcibly expanding into Slavic lands has been a German military "thing" for hundreds of years.