So you have finally learned that automized workers are useless, Monty tends to attack you and that cottages make your money? Great, you should be able to manage noble or prince level.
The funny thing on civ is that you can play on completely different ways and get similar results. When you have managed to use cottages, why dont you try to play a game without them and develop techs only with Scientists?
Choose a philosophic civ and build many farms. When all you great scientist settle down in one city and when this city gets Monasteries and Oxford it can make about 600-1000 beakers in the later ages.
You have built many wonders in your previous games? Try to build no wonders in one game, just let your enemies build them and see if they can keep them!

You are trying to get 3-4 religions in each game? Try one time to play as if they dont even exist. It works quite well!
Another thing you should really try: Choose a map that is not too large and a bit crowded. Choose a civ with an interesting strong early military unit. Aztecs, Romans or Zulus for example. Try to get them all down without taking too much care about your finances before they have units to beat you.
Try to use mechanics you havn't used before. Nationhood and slavery work quite nice together. Neither money nor hammers make you win the spacerace - Spys do!
Try to find out how you could build your cities. The pro-players make never-ending discussions about the placement of a single city and no strategy thread can teach you the best way to build them. Some leave only 2-3 tiles space between them and build a city wherever they can provide a bit food. This can be quite strong when your cities are not too big. Others look for perfect spots with 2 or more food ressouces to use slavery efficiently and to have size 20+ Megacities in the early industrial age.
Try to understand the inner mechanics of the game. Read the civilopedia when you dont understand something. Be creative (no, not the trait

) and ask yourself the question: What hurts my enemies most? What can they do to hurt my Civilization and how can i avoid this?
When you want to play on high difficulty levels or in multiplayer, you should really make as much micromanagement as possible. Whenever a city completes a unit, look if the citizens work the tiles the way they should. Change it if necessary. Every extra

you make brings you nearer to a space victory or a strong new military unit. Every extra

can buy ressources, upgrade units, pay spys, support more cities or a bigger army.
Every

makes you get a wonder earlier and enables you to build more military and buildings in a shorter time.
When playing on a new difficulty level, you can cheat a bit with the autosave. This way you can find out what you can expect and what you should prepare for.
Last but not least: You won't learn anything at all when you have no civ experience at all and the first thing you do is playing on gamespy online civ. Civilization IV is a very complex game. An experienced player can defeat up to n noobs where n is the number of his cities.
In my BF-league (online civ) we used to have a rookieacademy and i thaught basic and intermediate skills myself. the idea was not very popular but i found that the basic thing that divides the Rooks from the PROs is that experienced players let their cities grow as much as possible as long as they can keep their citizens happy and healthy. If the city has more food PROs use it on specialists or whipe the unhappy citizens. Build granaries, they are a must! Every happy citizen of you civilizations makes extra

,

and

so try to get as many as possible of them.