Each kingdom has unique victory conditions. These conditions are listed in your Kingdom Report. Each turn you will receive a rating as to your relative progress towords victory. The player with the highest rating on the last turn of the game is the winner. Remember, the game is a long one; your rating is based on what you are expected to achieve by the last turn, so you will probably spend a lot of turns with only average ratings. Do what you feel is right for your kingdom first. You'll have plenty of time to work on your rating later on.
The winner of the game is not necessarily the kingdom with the largest empire
and may in fact be a kingdom which is quite small. The winner will be the
player who has done the best over the course of the game with the initial
resources placed at his disposal.