Depends on several things. What tribe you are, your starting location, etc. Just start off as you normally do, expanding and setting up your core. Your core will build the military you'll use to go to war. If you are a military tribe, barracks will be cheaper to build. So they should be a priority, once you have a Settler and Worker producing city/cities.
You should always research at the high levels possible, while keeping your nation operational.
If you're the Persians, go for Iron Working first. Warrior Code is usually at good place to start for most, as Archers come in handy. If you're the Iroquois, you may want to go Warrior Code, The Wheel, Horeseback Riding.
Find and secure your resources. Iron and Horses, not necessarily in that order. Get your road network set up. Be aware of the obstacles that lay between you and your opponent. Stay focused on what you'll need to attack. Then do it.