That's a rather broad question, so it's tricky (or even impossible) to answer. Each game plays out differently, depending on the map size, land and sea forms, and rival civs present (or absent). Not to mention various other options and choices. So there's really no one hard and fast "do this and win" strategy for every situation.
However, a couple of broad pointers:
- Build a Worker early on. It should be either your first or second build. (You might want a Warrior/Scout first if you want to explore faster, or a Work Boat first if you're on the coast and your civilization starts with Fishing.)
- Research first the technologies that let your Workers do the things you need them to do (Animal Husbandry for pastures, Pottery for cottages, Bronze Working for chopping forests, etc). Later move on to techs that improve your economy and military (and perhaps allow some new wonders, religions, or civics too).
- Don't try to go for the early religions unless your civilization starts with Mysticism.
- Don't build wonders unless you have the time for them, and then don't go after too many at once. They're useful, but they're not necessary... especially if they come at the cost of your expansion!
- Found cities so that they will have at least one food resource, and preferably several different resources available. The more the better!
- A good rule of thumb is to make sure you have 1-2 workers per city (more if there is a lot of jungle or forest to clear, or if the city is growing quickly).
- Don't expand too quickly. A good general rule is if you notice that building a new city makes you drop below 60% on the research slider, stop expanding until you can increase the slider to 60% again without a deficit.
- Build plenty of cottages, especially along rivers.
- Don't be afraid to build good relations and trade with the AI. Switching to a religion that several AI also have helps a lot in improving relations with them.
- Go to war only when you're confident that you're stronger than your opponent and can take some cities easily. Keep wars as short as possible: lots of troops pushing hard into one area all at once, rather than a slow weak stream getting pummelled by the opposition. Build lots of siege units (Catapults and the like) as well as melee (and more advanced) units.
I can't really say much more specific until you've provided some more information, but I hope that helps somewhat.
I highly recommend starting a thread on this forum, and posting a couple of savegames from a game you've played at certain intervals - say 1000 BC, 1 AD and 1000 AD. Then people will be able to look specifically at your game and tell you exactly what you need to do to improve from where you are.