Create a custom game using the following settings:
Start Era: Ancient
Game Speed: Online
Map: Pangea
Temperature: Hot
Rainfall: Wet
No Barbarians
Leave everything else as Standard.
I set Map size to Small and City States to 0.
Select Cleopatra as your civilization and choose one other passive civilization like France,
Once you're up-and-running, settle your first city straight away. If you happen to be extremely lucky and settle near two adjacent Desert-Floodplains tiles, then you won't need to worry about building another Settler.
Send your warrior out to scout in search for some Floodplains. These tend to be next to rivers running through or near Desert tiles.
With your city, build a couple of Scouts, and once they're built, send them out scouting along with the Warrior.
During this process, focus your research on Masonry as you need this technology in order to build the Pyramids. For your Civic research, concentrate on obtaining Craftsmanship as you'll need this to build a Sphinx which can be built on almost any tile.
Once you've found an area with two adjacent Desert-Floodplains tiles, build a Settler and send it on it's way to found a new city near it. Concentrate this new city's production on building the Pyramids straight away, otherwise another civilization will beat you to the punch. The Pyramids must be built on a Desert-Floodplains tile and it must be built before building a Sphinx.
Once the Pyramids are built, use the Builder unit which you'll acquire from building said Pyramids to build a Sphinx on the adjacent Desert-Floodplains tiles and the achievement will unlock. Note that you cannot build two Sphinx next to each other; if you've already built a Sphinx on an adjacent tile to the tile you're trying to build this Sphinx on, you'll need to remove it.
If you don't manage to find the required tiles within the first 20-or-so turns, restart and try again, otherwise you'll be handicapping yourself in terms of research and production. and a rival civilization will build the Pyramids before you manage to.