You definetly start out with more than two units of horse archers. In the west of your capital you have a small stack of a Noble Cav unit, as well as 2 horse archers, a foot archer and a general. To the south of them is a similar stack, and to the east of them is another general with a single horse archer unit.

Move all these stacks on the settlement of Bin-Kath, southeast of your lone city. You should be able to take it with the lone force near the town. After capturing Bin-Kath I like to move on to Gava Saka, north of Bin-Kath and west of your capital (Chighu I believe) or south of your capital to Kophen (bit hard to get to with the mountains, but its a nice city.) After that you'll probably end up at war with Baktria or Parthia, which is what makes this campaign so hard. I got stuck there as I was expanding south the Baktrians attacked all 3 of my walless nomad towns in one turn and took them, leaving me with just Kophen (undersiege) and Takashila. I was then of course, forced to quit.

The Saka are a tough campaign to play as, so I suggest bumping the difficulty down to hard or even medium (not sure how much that will help). The Saka however, are probably the most interesting faction in the game, since, once you occupy some Baktrian towns, they go from a totally normadic army to a Hellenic Phanlanx/Heavy Calvary army supplemented by your original nomads. Good luck.