Decide for a victory and go for it early ingame, but not too early, consider what types of cities you have, diplomatic relations ( for an UN victory), religion ( for an AP victory), what wonder, etcetc.
If you have a huge military and great production and reasonable reaerach, just conquer everyone and go for domination.
If you have several awesome culture cities that also happen to have a good production, go for a cultural victory my spamming wonders and producing culture all the time.
If you don't know by the time you enter to modern times, start working on a space race victory and if possible UN (diplomatic) victory ( nuke all ** opponens so u have 3/4th population of the world or bribe em to friendly to vote for ya).
If you only got a good research/gold income, go for space race, just try to keep all the others just good enough to stay in peace and just concentrate on boosting the eceomy even more, workign your way too all spaceship techs.
Civ is also something to consider, if you got military and charismatic traits, just conquer everyone if possible, concentrate on running your economy from the loot from capturing cities and pillaging everything. All cities on military except 2 good research cities. This is very dangerous tho as if u pillage/ capture too little ** economy will crash as will your whole empire.
focus on you're economy more than you're army to start with.
Not always, I've had occaisons where I conquered an enemy in the first 60 turns, just rush out chariots before the enemy can even make archers, rush to axes in meantime.
Axe rush also works very well again pretty much any but a military ai.
With enough practise any player can keep his economy going @ start purely by conquering a nearby 2nd player that happens to be concentrating on the economy and not expecting attack, usually you get everything you need early if you win: a niceish develloped capital good for the economy, sometimes a 2nd city and 2 workers wich can improve the land around your cities.