Avatarz,
You said you are restarting after the ancient era apparently because you aren't satisfied, even though you aren't necessarily losing. What level are you playing at, and what goal are you trying to set? Below, I'm assuming you are a beginner and lookign for specific direction, otherwise you will probably find this insulting, so I apologize for this.
Don't necessarily try to get the results of the best players, you should probably be satisfied if you are in the middle of the pack in score at that time. Maybe you are better than you think? I am on a chess website which has masters an international masters. I've given up trying to match them, I can't. I can enjoy chess and I'm pretty sure you can enjoy Civ IV.
There is no question that the choices in the game are substantial, which is why so many of us enjoy it so much.
I thought Voice of Unreason's last post was very good.
What do we need to do in the early game? We have three main tasks -- defense, city building, and expansion.
Defense and expansion require some knowledge of the area around us. So we need to scout for both of them. Scouting can also get goody huts.
We need to scout for expansion because you do want to build cities on the best possible spots. If you click on a settler, the computer will 'recommend' a spot. Strong players pick spots better than the computer can, but for now, if city placement isn't your best thing, just take the computer recommendation, it will be one less thing to worry about. The computer recommendation is often based on key resources, which is important.
The resources around you are very important for expansion. Resources need specific technologies to use them. So, as Voice said, we can start on the technology question by tying them to the resources available. So, say your initial city has a wheat and a cow; you may want to prioritize agriculture and animal husbandry.
Defense is also important. Without strategic resources, you can build only warriors. This will be fine for a short period of time, but soon the other AI's and even the barbarians will get the upper hand. So, you usually want to get at least one of the better fighters.
Horses allow chariots and even horsemen later; copper and bronze working allow axemen. I usually research the techs to unlock these strategic materials very early. If you get neither (copper nor horse), you better get archery fast or even try to get iron working and hope you get iron. Or, if you just want to defend early, get archery quickly.
Techwise, see the priorities. Hunting often can be skipped toward later. Scouts are good, but you can press warriors as scouts if necessary. However, if you have pigs in your city, which need a camp, its a high priority. You will want mysticism if you don't found a religion and aren't creative, since you will need monuments for culture.
The techs that help growth are agriculture, pottery, hunting if you need camps, and mining. If there are cows, add animal husbandry. If there is a lot of sea, then add fishing and sailing. Bronze working is very beneficial if you have a lot of forests, it lets you cut them down which helps expansion greatly and allows farms, mines, and cottages. For defence, its copper bronze working and animal husbandry, especially bronze working. Since Bronze working helps for economic expansion, defense, and gives the useful slavery civic, it is usually high priority build. It is pretty rare that I will research 3 other techs before mining and bronze-working, indeed rarely more than 2. So a reasonable early research path is 2 techs or so to get the city improved economically, based on available and strategic resources, and then mining and bronze-wroking. If you don't find copper, then its a decision to go for animal husbandry, iron working, or archery.
Your second city will often be placed to use one of these military resources.
Unless you play at a very high level, you should have a little time to build your first city up a bit.
On a normal map, there are usually 4-5 cities that are your core. This is a good total on a noble-prince-monarch type level for the early game. These should be located based on strategic resources and terrain. Unfortunately, this is where you have to use some judgement -- if you have poor terrain around, building fewer cities quicker makes sense.
The game can essentially tell you if you have enough military units. Check out the screent aht shows your place realtive to other civs. There is a field for soldiers. Try to stay in the top half, its a good rule of thumb. As Dave McW said, try to build about 1.5 workers/city as a general rule.
Once you have your core cities, you should now be doing the dreaded specialization! You probably want about 2 production centers. Figure out which city can have the most production (look for grasslands and hills). Farm ALL of the grasslands, and build mines on the hills. It is best if this is the city with copper or iron. Now, it this city, ONLY build a monument if you need culture, granary (maybe), a barracks, a forge, and later a courthouse. From then on and in-between, build only military units, workers and settlers (and maybe wonders). Later, its ok to build a building (like a temple) for happiness to keep production up, but don't build things like monastaries, libraries, and later grocers, etc.
If you have gems, gold, or even silver, these should often go wtih commerce cities. Commerce cities should build as many cottages as possible; cut down trees if you need to. Since production is likely low, chopping the trees will help with early buildings. Here, you prioitze buildings like granaries (maybe), libraries, monastaries, etc, most of the building that the production center doesn't build (although you still likely will want a courthosue). With a capital and say 5 other cities, you probably want 2 production centers, 3 commerce cities, and the captial. Of course, its hard to be this pure, and there will be some redundency, but this kind of set-up can work.
Wehn you get to trying a specialist economy (which I still have trouble with) the commerce city builds farms and uses excess food for specialists. Strong players often build one city like this even with a cottage based economy.
So, we have a basic roadmap -- 1 to 1.5 workers/city, enough military to stay on the middle to top of the chart, and 4 or so other cities is a reasonable goal for expansion.
Then comes the really hard part, where to go next. But that's a different issue!
Above, I assumed you were expanding throug settler creation. Of course, the alternative to to conquer. If you start with an aggressive leader, it often makes sense to conquer. This often isn't easy, but if you do try to conquer, really devote your civ to it. Slave build, and get troops out. Don't build too many settlers, just conquer. Conquest should be examined in a general sense if:
You are aggressive
You have strategic materials (especially metals) and your opponent doesn't
You are hemmed in by rapid expansion by the AI
As Voice of Unreason said, once the beginning is done, you can see around you and adjust. Is Shaka your next door neighbor? Change the move order and get the military build PRONTO!
Once the end of the early period is reached (and good paleyrs do this immediately), its time to look for the future. You ave to decide how you will win. Conquest? What is the best time to start? You may want to go for religions, wonders, or techs, but they must be in line with your overall strategy.
Anyway, try Breunor's start and see if it helps. Remember, I concentrated on defense, expansion, and city building. Once these are routine, you quickly want to add wonder building and religions to the list of considerations.
Best wishes,
Breunor
) You just need to play lots of games and try to follow some key tips you get. (like the worker thing, you always need more workers 
