As some have said, learn SE. It is more "advanced" and harder than simple cottage spamming, but it is really about nothing more than city specialization. And that is the key in Civ4. And, Alexander is one of the leaders ideal for it.
Here's a more in-depth guide to how I would run Alexander (war-mongering backed up by SE). Assuming typical settings; Noble, Normal, Continents or Pangaea, or something similar.
- Capital becomes super science city (SSC); improvements should focus on food (with some mined hills). In the rare case that the starting location is unsuitable for this, the second city should be founded on a better location.
- Early on, research important improvement techs,Writing and Bronze Working.
- In the capital, build a few combat units, workers and settlers, and expand quickly. When you get Writing, build a Library in the (SSC) and start to run scientists. The ideal way to do this is to turn on the governor, and force one or two scientists. The SSC should focus on buildings that boost science, health and happiness. If it has nothing meaningful to build, build science. Once you get a Great Scientist, settle it in the SSC. Use one to build an Academy there too.
- All other cities become production cities. Improvements should be Watermills, Workshops, Mines, Lumber-mills + enough Farms to work all those. Besides some basic buildings (Granary, Courthouse, Barracks, Forge, Theater, Odeon, Jail), they should focus on creating combat units, as well as Settlers and Workers.
- Don't care about the science slider after you start getting Great Scientists; just make sure you have enough money for your empire's upkeep. If you're running low, build Courthouses and Markets, or even Wealth.
- Mid-ages, research Literature, Drama, Construction, Currency, Code of Laws, Machinery and Civil Service. Build National Epic in the SSC, as well as Great Library if you have the hammers and marble.
- Renaissance, research Education and Constitution. Build enough Libraries and Universities to be able to build the Oxford University in the SSC. Afterwards, head for Assembly Line, Biology and Communism.
- For Civics, run Caste System, Representation and State Property as soon as you get them. For the others, well, anything but Free Speech is works.
- Make war. Lots of it. Turn every city you conquer to another production city. Use the culture slider to combat war weariness. Win by Domination, Conquest or Diplomacy.
Depending on the AIs, playing like this should pretty much get you the largest army _and_ keep you competitive in techs, if not necessarily in the lead.
My two

, anyway.