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It generally works best to decide which victory you want to pursue before you get too far into the game. Personally, I usually strive to discover a religion as soon as possible, just so I can keep that victory condition in hand, in case one of the other ones falls through.
I tend to have modern tanks as early as 1600 and ICBMs by 1700. The AI is already dead by then.
Man... ai with robots... Spooky. This is why you gotta kill everybody first. The only person with a giant mech should be you. Even in MP, really. You shouldn't let others have fun.
The last time i saw the ai use nukes and robots in a civ game was in 5 when the Gandhi AI goes crazy. Sometimes, not even tech rushing with Poland will spare you from a Nuclear Gandhi.
If you're going for a domination victory? Then you'll want to be at war basically all the time. Don't try to fight on multiple fronts unless you have a truly overwhelming advantage, but you should always be advancing somewhere once your war machine gets started. (That's usually the classical era for me)
A religious victory? Then your cities should be focusing on infrastructure (holy sites and their buildings first), while the religious units you buy with that faith go out and convert everyone. War? Maybe some wars with your neighbors to grab more territory, but you don't want to be at war with anyone you're actively spreading your religion to unless you can afford to defend all of your religious units with combat units.
A cultural victory? You want to be trading with everyone, while you build stuff that provides tourism and buy in naturalists and rock bands for even more. Tourism is hard to come by early, but explodes in the Modern era on both tech and civic trees. So you can't just focus on culture, but need a balanced mix of all the yields.
Culture is also the victory condition that it's easiest to reach by accident; if you're just generally ahead of everyone, you'll often pile up enough tourism unopposed that you just get there.
A science victory? This one's the most insular; all you really need is a lot of science to research the entire tech tree, and a lot of production in one key city to build the spaceport and the projects. Everything else hardly matters; feel free to hedge your bets with your other cities and open up chances at other victories. I recall one game in which I just kept building stuff in my other cities, and the one rock band I bought for the inspiration got incredibly lucky ... so I ended up winning a culture victory before I could finish the space projects.
A diplomatic victory? This, more than anything, is a backup plan. The main way to get out ahead is to win all those aid request competitions at two victory points each, and you can't predict when they'll come in. But a lot of the time, it's cheap - you can win that competition with just a small gift, because your rivals aren't building the aid projects and won't just give away gold. So you can have a decent shot at a diplomatic victory without significantly impacting any of your other plans.
To the OP, don't get discouraged. Civilization is a complex game, but rewarding if you keep at it. Before too long you'll be winning your games before your opponents reach the point where Giant Death Robots become a thing, too. Then you bump up the difficulty and try it again!
If you have any more questions don't hesitate to ask. There are a lot of friendly people here who can give you advice (and at more than 880 hours I'm still learning things as well!). Keep it up, and have fun!
I strongly suggest to play at the easiest level, if you haven't played the game before. You may also want to watch a tutorial video on YouTube to learn the gameplay basics.