Build at least two explorers right away. I gave them the Scouting I promotion to increase their visibility. Send one to the west to look for King Solomon's Mine. Send the other one southwest to look for the other three Natural Wonders (Source of the Nile, Lake Victoria, and Mt. Kilimanjaro). Trade for open borders with Egypt, the Ottomans, and Ethiopia to make this easier.
Watch for which Natural Wonders the other Europeans get and restart if they get three or more.