First, make sure that your game is fully updated to the most recent version. For regular Sins it is v1.18 (or is it v1.181?) and for Entrenchment it is v1.041. To update the game you need to download and install Impulse, which is a benign program, like Steam. (You don't need to have it open to play, only when you want to get the latest patch.) You can find it here: http://www.ImpulseDriven.com
After you're fully patched up, then click <Ironclad Online> and do whatever you have to do to create a new account. Then you need to create a player name <Add Player> and then select it and click <Use Player>. That should take you to the Ironclad Online Lobby where you can then host and join online games and talk to other people.
If you're brand new to the game, I do think it would be a good idea to play it in single player for about two weeks so that you can become comfortable with the game's mechanics and become familiar with the different races and their strengths and weaknesses relative to one another. However, you could come online now to play comp stomps, humans v. AI games. This game does have a learning curve, so you'll probably get beaten up by human opponents your first couple of times out, but don't let that get you down. Sins is a great game for online multiplayer against human opponents once you know what you're doing and can hold your own against other people.
Be sure to read Raging Amish's unit guide sticky thread in the Strategy forums.
