Two suggestions:
Read the "Brand New Grandma" thread here in General Discussions, and then start the TUTORIAL game using the default settings and do what the manual and the pop-up suggestions advise. After a few rounds, start ignoring the advice and make up your own strategy.
To get military units you need to click on one of your cities and change what they are building. If you dont have any cities yet, move a Settler to a good location (grass or plains preferred, with a river even better) and type B to Build City or select it from the Orders menu. The City Screen will come up, showing the default settings for your new city. The build box is in the lower right hand side: it's usually set to Warrior or Phalanx. Click the Change button to see what other options there are. To get more options you have to discover the appropriate technology.