First, are you playing online or against the computer AI? If playing online, and you have only the basic/vanilla game, look for no rush games so that you have time to learn the game a bit.
My advice would be to play a bit against the computer AI to learn the basics of the game, and get familiar with the various civilization's strengths and weaknesses. You might want to try a few games on either the Caribbean or the Amazonia map to get used to the game mechanics without being attacked by the AI. Set it for easy level and go from there.
Note, I suspect that most of the forum will tell you to jump in online, rather than playing the computer. For someone new to RTS games, in my view, that is a mistake. You need to learn the game mechanics first. I teach a historical gaming class, where we pair up the students in teams, and always make sure that a new student is paired with an experienced one so as to learn the various games used.
One of the games that we use is the board game version of Age of Empires 3. It is actually quite a good game, and the kids like it a lot. One of the big differences from the computer game is that he who attacks, looses.
Nail to the mast her holy flag,
Set every threadbare sail,
And give her to the god of storms,
The lightning and the gale![This message has been edited by Timerover (edited 05-07-2009 @ 08:32 PM).]