1) You have to have idea of what it is you want to write about. Internal politics? International politics? Wars? Etc. That will give you idea of how large your world has to be and what you have to have in it. Also, what is the social system? Roman Empire? Feudalism? How does political system work?
2) Is it alternate history of our world, inspired by our world, or something completely original? (Well, last is impossible)
3) Try to learn from history, fantasy etc.
I cannot really help you without knowing more details about your world.
Yeah I should have added more information. It is not an alternative history to our world. It has empire's that run like the Roman empire, others that have feudalism and such.internal politics include houses trying to gain power over one another, by treachery or treaty. The political system works like most work back then, whoever has the most gold, or armies, or (not that they had this) magic, resources, etc