First of all, this is a timed mission, you'll be rushing around to win this game so this is an expert campaign. Also if the wonder timer counts down to zero, then you lose the game.
Do not bother with attacking the brown Persian units or invade their village unless they attack you as they'll waste your time and risk losing the game to an expired timer.
Racing against time on the Red Wonder
You start off in the Iron Age with 1000 food, 500 wood, 500 gold, 500 stone. 5 villagers, scouts, cavalry, swordsmans and archers, all of the technologies is researched.
Have your villagers cut down trees and mine stone. And build a north wall, east and west wall around your village to deter the brown Persians from invading your town. Also send your villagers south where the forest is and build another town center. Also build a wall around your town center in the forest with watch towers. Then have them chop wood and mine stone and hunt game. Produce as many villagers and have them pick berries, and hunt game for food.
Build a dock and build another wall with many watch towers and produce triremes so you can protect your trade boats from enemy triremes. Have your trade boat trade food for gold with the brown Persian docks.
Since time is running out for the red wonder, have 3 or more villagers build 2 siege workshops and produce ballistas or catapults and use them to take out the red watch towers and archers. Then create a breach in the wall so you can sneak inside the fort.
Watch out for the invading brown Persian army, take out their catapults with cavalry immediately. You can take out the swordsman, archers, cavalry units with ballistas if you have 4 or more of them.
Also create at least 2 priests so they can heal your siege weapon units and army units.
Once inside quickly destroy the red wonder with ballistas or catapults before time runs out, if you succeed, you can take out the last of the archers and watch towers and it will be safe enough for your villagers to walk in and mine the gold so you can build catapult triremes and more ballistas and catapults.
Racing against time on the Yellow Wonder
The yellow Darius will start construction on the yellow wonder and you'll have to gather resources including wood and gold to build up more catapult and ballista units.
You'll want to build a transport ship to use to carry catapults and ballistas on board. Make sure you have 3 catapults as they'll destroy the yellow wonder faster than ballistas. You don't need any other army units since you'll be on a time limit still.
If the yellow wonder is complete the timer will count down and you'll have to hurry to the yellow Darius city with siege weapons.
Do not bother with breaching the wall as that'll cause the yellow army units to escape out and invade your hometown.
Instead sneak on the river with your siege weapon units, have your triremes take out any enemy triremes threats, you'll get to the watch towers which you could take down with catapult triremes but you don't have much time, instead you'll want to distract the yellow watch towers to fire at the fishing boat or trade boat so you can safely sneak your transport ship with siege weapon units on board past the watch towers.
Then unload your siege weapons and quickly attack and destroy the yellow wonder before the timer runs out and before the yellow army units can react to attacking your units. You should have 3 to 4 catapults and ballistas so you can destroy it quickly. Once the yellow wonder is destroyed you should win the game, enjoy the video cutscene.