You start off with a handful of soldiers and siege units, two War Galleys, a Light Transport and a Heavy Transport. The Artifacts are spread across the map, and several of them are guarded. Don't waste your units needlessly, you aren't getting new ones. The two western-most Artifacts are found near the large field of shallows, and are basically unguarded. The mid-northern Artifact is close to a large enemy force, but you won't have to fight them - if you have all the other five, you'll win as soon as the sixth one comes under your control.