Start with Worker -> Warrior -> Settler. Then in each city, start with an Obelisk (called Monument in Warlords, requires Mysticism) followed by a Granary (requires Pottery).
For the overwhelmed I'd suggest picking any civ that looks appealing and trying Custom Game with settings Quick speed, Settler difficulty, Always Peace, No Barbarians. Build a total of 8 cities, enough to unlock all the National Wonders. Try to get a space race victory.
The most important thing to understand is how population and tile yields work. Play with tile yields on (Ctrl-Y). Double click on a city. For each population point it can work one tile or one specialist. It's working the tiles with white circles, harvesting their food/hammers/commerce. You can click to change what tiles are being worked. As you play, look and try to see how food, hammers, commerce, wealth ("gold"), and research ("beakers") work. Commerce is converted to research and wealth depending on the slider. Your costs (the drain on your pool of wealth) are shown in F2, although it doesn't explain them very well.