You have to destroy the enemy Wonder, but there isn't any time pressure. The scenario hint to concentrate on the Wonder is misleading. You're going to have to go right through Yellow in order to get to the Wonder, so they won't survive. It's a good idea to at least cripple Red in order to get resources. However, taking out Brown is both very hard and largely unnecessary.
In the far north, an allied fleet is committing suicide. Just ignore them. You have far more important things to do than to watch them die, and you certainly can't do anything about it.
Start by building a Storage Pit and clear-cutting your initial island. If nothing else, this will allow you to repair your ships for a while.
Leave half your Triremes as a screen around your island, and go exploring with the other ones. To the NW, you find a Red dock and some fishing ships. Sink the fishing ships, but leave the dock alone for now. On the coast over there, you find a fair bit of gold and stone, with no sign of enemy land forces.
To the NE, you find two Red docks and some fishing ships. Sink the fishing ships, but leave the docks alone for now. On the coast over there, you find several Towers and a lot of ground forces. There is also a fair bit of gold and stone.
To the north, there is a narrow exit from the southern sea. It is guarded by some Yellow Towers. Just put a guard force there for now, and use the rest of your Triremes to sweep the southern sea clear of enemy warships. Send half your troops over to the NW Red dock and blow it up. Start exploring that landmass. You find evidence of two large enemy bases, so you pack up your troops and leave.
You can seal off the southern tip of the eastern landmass with just two units of Wall. Land some villagers over there, seal off the area, build a Storage Pit, and start collecting the resources. Work over the Red position there, first the Towers, then the docks, then the troops and the other buildings. Your troops won't be able to do much here at this time, but have them available. The one thing they can do is serve as targets for the enemy ground troops. If you land your troops, and enemy troops fixate on them, the enemy troops tend to go catatonic when you extract your troops, so your warships can pick them off easily. Watch out for Yellow catapults! Your Triremes can deal with them, but your villagers are somewhat exposed.
Red will be starting to produce War Galleys by now, so you need to take out the fourth Red dock, which is near the narrow channel in the north. After that, you try to move down the channel. This is essentially impossible, because the defenses are just too strong, so abandon the attempt.
You need to set up a full base somewhere, but there is no good place. The best place appears to be on the NW coast of the southern sea. You should make some preparations first. You have clear naval supremacy in the southern sea by now, and that should last for at least a while. Therefore you should be able to fish that sea safely. However, you will first need a bunch of Houses. Just pack them in tightly on your island. This is not normally good practice, but you need to make an exception here. You still can't build villagers, but they don't have much work anyways. If you think it's important, you can delete your first Storage Pit, and you can build a Town Center there, but there isn't any space there for farming. There are no shore fish near your island, so neither building has much purpose at this time.
You should also build a temple on your island. When you have a couple of priests, then your troops become much more effective and can actually be risked in combat.
You should stop collecting gold when you have about 600. This will cover your immediate needs, which are primarily related to priests. You won't really be able to get Coinage for a while, and you don't want to lose too much gold, although it looks like you should eventually be able to find more than enough mines to cover your needs. In hindsight, this might be a mistake. It depends on whether you eventually get that gold, or your enemy does. On the other hand, it also turns out to not matter at all.
Be aware that actually having a dock might provoke strong naval attacks.
The Red position on the NE coast of the southern sea appears to be rather small, and Yellow and Brown are immediately behind it. Do what damage you can with your cavalry, but as soon as you have collected as much stone as you can here, it is time to abandon this position and try for the other landmass. Although there are more Red troops over there, at least there appears to be some room to expand.
Your first landing force should be half your initial army, minus the infantry, which isn't very useful, but add a couple of priests and a couple of villagers. Leave one villager on your island to repair ships. Fight your way ashore as best you can. If you can't accomplish this, you will have few options left, but it isn't too hard. You will have to fight your way through hordes of Hoplites, as well as some other units. Hoplites are great in melee combat, but they don't stand up well to ranged fire, and you have enough of that, so you slaughter them in heaps. You will probably have to extract your troops and land them again multiple times, while your Triremes hammer away. The main thing is to not let the Hoplites close, and that means that you have to micromanage this action continuously. If Red villagers try to collect resources close to shore, hit them with your cavalry and slaughter them too. This action should lead to a serious decline in Red's population, which will only recover slowly. In the meantime, Yellow does not appear to be able to replace their casualties, while Brown is reaching maximum population.
When Red runs out of troops, at least for a while, lay down some walls to help secure some space. Don't build Towers there yet, because you can't really protect them against enemy siege weapons. Build another Storage Pit over there so that you have wood income again. Build a Market and Government Center so that you can get Coinage and the missile weapon range upgrade, and produce at least one range-upgraded Catapult Trireme. This will allow you to engage the Yellow Towers from outside their range.
When your new base on the western landmass is reasonably secure, bring over the rest of your cavalry and artillery and your third villager. If Red villagers are collecting resources outside their base, interdict those locations with your cavalry. This could break Red right away. Once that happens, you can comfortably explore the rest of the western landmass. You find that it is not connected to the eastern landmass, that it is loaded with resources, and that it is nearly empty of enemy presence. You could spawn-camp the single exit to the Red base and pick off villagers as they leave.
Now that the western front does not really require your attention, bring up your Catapult Trireme and start grinding up the Yellow Towers guarding the central channel. Stay alert for siege weapons on the eastern landmass. Brown does love their Catapults. When the channel is open, send a Trireme to explore the northern sea. Nobody over there objects to it. Actually, there isn't anybody over there.
It's time to dig Red out of their western base. Bring up both Ballistae, all your cavalry and priests, and half your infantry. You shouldn't encounter any mobile resistance, because all Red's remaining units are in their eastern base. You might as well convert anything you find that's useful, instead of just destroying things. When Red is finished on this landmass, head over to the far north with a couple of catapults and blow up the few Towers that guard a bunch of resources. Then you can blow up the Yellow Towers that sunk the Orange fleet. Show them how it's done.
At this point, you can win any way you like. The fastest way is to land a strike force as close as possible to the Wonder and just blow it up. The slowest way is to fight your way through literally hundreds of Catapults to kill Brown, except that they are in the far corner of the map, and it isn't necessary.