Make a folder in your Age of Mythology/mods/ folder first, so you can keep the original game intact (as there is a mod workshop system now)
call it whatever, then set up another folder within that "data" go back to the root aom directory, go into the data folder there and copy the latest protox.x file (this should be proto2.7 for the current public version, or proto2.8 for the 2.8 beta) paste that into the /mods/yourmodhere/data folder, then edit as you see fit.
There should be plenty of guides on the AoM Steam community section.