First of all I just want to say that this is an AWESOME scenario! I can win civ on Regent level, and I've just moved up to monarch level, to give you an idea of what level my game is at. Here's my story:
The first 3 or 4 times I tried the game I got slaughtered, but I learned from my mistakes. I realized that the fellowship needs to bypass Dwarrowdelf and just get the heck down to Rohan and Gondor to defend. I also had to start the game by abandoning Osgiliath and moving those units to Minas Tirith, since after several games I realized there was no way to keep Osgiliath, and I was wasting a lot of units even trying. (Also if I don't abandon the city then the wraiths can use it as a base to attack Minas Tirith and then retreat back to Osgiliath, making them even more impossible to kill) (By the way, is it just me or are there wayyyyyy more then 9 nazgul - I mean in my games there's like 20 of them)
I did finally win the game with about 14 turns left.( I had almost conquered everything when I got Frodo to Mt. Doom just to see what would happen, I didn't realize I could win by doing that) I personally found the game VERY difficult, but again I don't play civ on the harder difficulty levels. Counting all the times a hero died and I reloaded a saved game, it probably took me over 30 games to win.
Here's the strategies I used to finally win:
1. Obviously, the first turn you need to extort your allies for everything they have in trade for horse breeding (or whatever it's called) The Shire has the most money and they'll give it all to you.
2. Rush build defenders in Helm's Deep and as many Gondorian cities as you can. The best defender possible in my case.
3. Send your rohirrim army down to Minas Tirith and confuse the heck out of Mordor and the (too powerful, IMHO)Haradwraith. By this I mean whatever city it looks like they're going to attack send your army ahead to attack from that city and discourage their forces. This worked almost comically. I had one army running around all of Gondor and everytime Mordor or the Southrons got attacked by it they turned all their advancing forces another direction.
4. Use Faramir (in MInas Tirith), to attack as much as possible, this should give you another army. Just retreat him back to Minas Tirith after he attacks so you don't lose him. The same is true for Theoden. Between Faramir, Theoden, and that trebuchet you start with you should get 3 armies which I filled with rohirrim and gondorian cavalry (either rush built or built in Minas Tirith). Then put an army in each main Gondor city, and the enemy won't even go near them. (As long as you use them to attack, when they get close)
5. Now the Fellowship, and the bonus rohirrim have arrived so you're pretty much set to take over Minas Morgul. (especially if you got Mordor to send all of their units toward Rohan. They'll never get there, it just takes too long and a few Rohan Royal guards and rohirrim can hold them off for a long time. )
6. It took me awhile to kill all of the enemy in my territory to where I felt comfortable enough to mount an attack on Minas Morgul, in fact I waited until the army of the dead arrived. Once that happened it's all over.
As a side note, one game I was doing pretty good, unitl the Haradwraith took Erech, - right before the army of the dead arrived! I had to abandon that game since there was no way I could kill the army of the dead and the 20 or so wraith's on wings (at least it seemed like that many)