I just won Civilisation V, at the level of Immortal, which is the highest. It isn't easy. Here's how I did it.
1) Choose to be Chinese. That way you get the double-crossbow, which is a very powerful weapon, early in the game.
2) Choose an Earth world. That way, you know the geography.
3) Small. I haven't tried it with larger worlds.
4) You want to be in Africa or America because that way, you won't be attacked by the other players so much. Or maybe at one end of Eurasia.
So step one, spread out in your continent. When you get the double-crossbows, conquer the city-states. And go for as much technology as you can. Get to artillery as soon as you can, because they can stand off and bombard from a distance of three. Use that to invade the next-door continent - meanwhile, keep concentrating on technology. Your objective is stealth bombers, which should get you control of the rest of the world.
You'll need oil, so if your territory doesn't have any, you'll need to invade someone who does. Ditto, later on, aluminium.