In order to build the Iron Works, you need to have already done iron deposit->iron mine->smelter->foundry in the city where you're trying to build it.

That said, if any AI has STARTED building a wonder, you cannot build it.  Whether this is a good mechanic is another matter.

that "start building a wonder as to negate others access to it" thingie really sucks, it shouldn't work that way :/

It's likely just as Tuidji points out then. Once another faction starts constructing a wonder, it will no longer even appear as a build option for you. This of course means you can benefit from this mechanic too. So you could rush to something like Erog's Tower, and then start on a 45 season building project without worrying about someone else completing it first. The only way you don't end up getting the wonder at that point is if the AI manages to conquer your settlement.

It probably ought to work the way Civilization does wonder construction. No hurrying construction of wonders and any progress made on a busted attempt is reimbursed to the faction in gold.

It is possible a monster or an AI destroyed the city where it was been building, so now you have acces to it. I recall this issue has happened before.