A few things first, If you come up against The British or Greeks then give up and try again as both nations get uber defensive units early on. Also if there is one nation off on a different Island I also recommend giving up and trying again. Also Saving is your friend, do it before every major confrontation and after every major success. 

First thing to do is settle your city with 2 Forest (production) squares, 2 Field (food) squares and 2 Ocean (Research/Gold) squares around it. Then manually set your workforce on the 2 Forest squares and build a Warrior in 3 turns. As soon as the Warrior is built move your citizens to the two ocean squares (research) and research Horseback Riding (takes 5 turns). As your researching use your Warrior unit to scout around nearby mainly to locate Barbarian Huts (DONT FIGHT THEM YET) but it's an added bonus if there are enemy capitols nearby. 

As soon as Horseback riding as been researched move your citizens (still only 2 but don't worry) to the Forest sqaures and start training Horsemen. When the first one is done send it off to attack the Barbarian Huts to win 3 fights in order to become a Veteran. You should still have been exploring with either your Warriors during this time or hopefully you found a friendly Hut and got a caravan, with 3 moves per turn these are very good explorers and you should try and find everyone's capital city. 

Defeating Barbarian Huts nets you Gold so as soon as your 2nd Horseman is built rush the 3rd unit and then move both your citizens to the Field squares. Right now you should focus on Food then Gold and lastly Production. So you should have a Veteran Horse Army and it's make or brake time. Head striaght to the nearest Capital and take it, should only be one or two archer units. As soon as you take it use the same tactic of Food>Gold>Production (So if the city has a population of four and 2 Food, 2 Gold and 4 Production squares around it, you would put all your people on the Food and Gold until there is a surplus of people).

There's no time to waste, heal your Horse Army (who hopefully have learned a skill- Infiltration been best) and send them off right away to the nearest Capital. If your quick enough then there will only be one or two units at this capital as well. If you havent captured two Capitals before 0AD then your probably doomed. By this point your 2 other cities should of grown a fair bit and you should have a sizeable amount of gold. If after the 2nd Capital there is another one close by then lucky you, TAKE IT! However I will assume like myself that the next Capital is a little way off, send your horse army close by to keep an eye on it. At this point take a new approach to city management with Production>Gold>Food been your new priority. You should be able to produce a horseman in 5 or less turns. This part of my guide is highly changeable though, say you have on city surronded mainly by ocean and another surronded by Forests then focus on different aspects within each city this example would be a gold city and a production city. Also any small cities you might of picked up with a population of say 2 or 3, just use them to get gold.

Use your Gold to build roads between cities on the way towards enemy cities as travel time can be a killer. And put all your cities to Horseman production. I got lucky at this stage as my next foe moved his Archer Army (a powerful foe) out of his capital  to guard some Settlers he was moving out of his capital. I used this oppourtunity to strike at his weakened defences in order to prevent him from forming another Archer Army (If your opponent doesn't do this then skip to the next paragraph and use that stratergy on the last two Capitals). However one Horse Army will not be able to take the city with only one attack per turn as they will be building units as fast as you can kill them. So by now you should have another Horse Army so move them up to help out (If your feeling confident then dont wait to form an army and move your horsemen up to the front as single units as their built  to capture the city faster) you should have the 3rd capital before 400-500AD. 

Now make sure you have roads that lead towards the last Capital (Again I got lucky as the last two capitals were fairly close together). Switch all your major cities to full on Research and make sure you have Alphabet and Writing researched (should only take 2-3 turns). Then switch everything to Production (Growth/Gold/Research no longer matters). Build a Spy in one city followed by Horsemen with every other city pumping out Horsemen aswell. Gather your forces at the final Capital (I had my Original Horse Army which was now fully upgraded  along with 3 other Armies. Move your spy into the Capital and destroy their defence's, in the same turn hit it will all your Horse Armies with the most powerfull going first. And that should be that. 

Again don't get frustrated with this one, there is alot of luck involved and just keep pluging away at it until you get it. Hopefully with this stratergy you should get it sooner than later.