Conquering the world sounds a bit... "funny" to me, like the obsessive idea of the "Brain" ( from that cartoon ) to controll the world :)
All you have to do is to restrict yourself to either historical accurate behaiviour of the faction you´r playing, or set your own house rules, to make it challenging ( there are plenty ideas for such on this forums, or on "twc" ).
Competing with AI, which is allready more then 6 years old ( well, with AI at all, since you are human and got brains etc. ^^ ), is kind of wasting of time, imho.
No offence ment, of course.