To control a Religion there are several ways depending on your city:
In Rome, you have to join the sect of Remus or the sect of Romulus
In Alexandria, you have to be a Jew or a Christian
In Carthage, you choose one of two senatorial family
In Athens, you go become an Aristocrat or a Democrat
Once you find the people that allow you to join the Religion/Sect, you will have various missions to fullfill. Your Goal is to seek the control of the city at 100% with your sect.