I play with my friend sometimes and at the start we always both try to build GL and he is always first. I loose these rounds I was trying to build it and then I feel a great disproportion between us and I am even worse than computer players then. After that he build Pyramides first and I can do nothing but rage.
OP, I do not have experience with multiplayer, but I have read enough to know that it is very different than SP. But you are playing with a friend and filling in with AIs, which sounds like great fun, but not so much if one person is winning all the time.
What difficulty are you using for MP now? How many AIs? Would your friend be willing to bump up the difficulty level? How do you decide what civs to play? Would your friend let you pick? Or does that feel like too much of a handicap?
Clearly your friend has a better handle on certain game mechanics, and that is frustrating for you. But you have the help of this board, so that should level things! If you are going to give him some competition, you need to shake things up a bit.
The common theme in all the advise you have gotten so far is to be the position of having less problems with the AIs than your friend. Being able to handle the AIs is such an advantage that open games are almost all humans, zero AIs.
Ok, so I have a question about expansion then. Mostly when I play with AI I have just 2 cities, sometimes 3. Why is it good to build 4 cities early in game?
Not to be a jerk, but when you play at a difficulty level that is sufficiently challenging, this is the sort of question that has an obvious answer!
Say you and your friend both play at Prince, and his SP games are always higher score, shorter turns to VC, etc. No problem. You focus on surviving Emperor games. Then insist on Emperor for your MP games!