To set the Turn Limit for a PTW game:
1. Click on "New Game"
2. Choose your world settings. Click next
3. Choose your playing options (ie, pick your civ, rival civs, victory conditions, etc).
a. While in this screen, you will notice a small rectangle button labeled "Game Limits" located directly underneath the picture of your civ's leader. Click on this button.
A pop-up window will now allow you to set the Turn Limit and Points needed for victory. If you set the Turn Limit to 0 (zero) - this will indicate no turn limit. You can also set it to its maximum of 1000 - for the maximum turn limit.
Hope this helps.