Select the first scenario (Dong Zhuo Triumphs in Luo Yang), then select Cao Cao as your leader. On your very first turn, move some generals and troops to Xu Chang. A few months later, Cao Cao will call a meeting, asking all the other leaders to form an alliance against Dong Zhuo. If Yuan Shao joins, he will become leader; otherwise, Cao Cao will become leader. This makes defeating Dong Zhuo a bit easier, depending on who joins you (such as Yuan Shao or Ma Teng).