Though there are many different paths to success in Age of Empires, one of the surest routes to world domination in a single or multi-player game is to build a wonder. If built and held for 2000 years, a wonder will result in an automatic victory for your civilization, but a few prerequisites must be satisfied before you're able to begin construction: you must be in the Iron Age (the last of the four ages) and you must have completed construction of a government center. Once both of these feats have been accomplished, a wonder is available for building. But just like the seven wonders of the ancient world, they prove to be a costly enterprise. You must have 1000 wood, 1000 gold, and 1000 stone in your inventory to pay for construction. If all of those conditions are met, you can set your civilians to the task of building a wonder.
There are some immediate hazards you should be aware of. As soon as you begin constructing a wonder, a notification message is sent to everyone in the game and the location of your construction site will be revealed to every player. If you are able to complete the wonder, another message is sent out to everyone declaring that your civilization will win the game if the wonder stands for 2000 years. A countdown clock is displayed in the upper right corner of the game screen to show how much time is left for each player's wonder.
To ensure that this monument to your civilization's greatness remains intact long enough to win the game, you'll need to choose a secure location. Remember that catapults can fire volleys great distances and trireme catapults can attack inland targets from the water, so use the natural defenses afforded by the surrounding landscape to your advantage.
The more civilians the better!
Once you've selected a site, be sure you have the resources and manpower to see it through to the end -- wonders take a very long time to construct. Make sure you have a steady flow of resources available for a defensive buildup and a lot free civilians to build the wonder and your defenses faster. Architecture is a key research item when building a wonder because it decreases the build time. Be warned: some civilizations do not get an Architecture upgrade.
It's not uncommon to construct a wonder with more than 40 civilians (the Shang have a great advantage in this area due to their reduced-cost civilians). Make sure you have enough civilians to build your wonder quickly. If you are in a multi-player team game, coordinate your decision to build a wonder with your teammates so that they can move units over to defend your civilians.
Once a notification of a enemy wonder has been received, don't wait too long to mount an assault against it, those 2000 years will pass in a hurry (approximately 12 minutes). It's usually always a good idea to destroy an enemy wonder as soon as the first notification goes out and if you are playing on one of the larger map sizes, it's imperative to launch your major assault with at least 1500 years left in the game.
If you are defending a wonder, use a lot of towers and walls to create passive defenses. It's almost always a good idea to completely wall yourself in when protecting a wonder, but you may want to place a few buildings outside of your walls for foraging and offensive actions against enemy capitols.
For defense, place your towers in intelligent groupings (multiple towers in close proximity can concentrate massive firepower on enemy troops) and place them close to your walls to fend off attackers.
Large fortified walls and towers will force your enemies to divert their resources to large numbers of hand-to-hand forces or siege weapons in order to breach your defenses, and if you plan properly with a mix of heavily armored ranged units you can pick them off before they beat their way through your walls.
If your resources allow for additional construction or upgrades after you've begun your wonder, upgrade to ballista towers if possible. It is difficult to pull off, but games have been won with just ballista towers and cavalry defending wonders; the ballista towers demolish anything that tries to walk by and small groups of cavalry can be used as siege weapon strike teams to destroy any catapults attacking your towers. Just be sure you select a civilization that can research ballista towers before you attempt to implement this type of defense.