In the "Old World" you can upgrade your citizens from "Farmer" to "Worker" than "Artisan" and than to "Engineer" and after you got pleanty engineers you can build the required buildings to build steam ships instead the ones using sails.
Use the new shipyard to order any ship that uses steam engine, and once it completed the achievement pops.
Same as console version.
https://www.trueachievements.com/a386679/full-steam-ahead-ac...