A multi-player race campaign is fairly easy to set up. Without touting any rules (especially since our campaign book just came out), the first thing to decide is how many parts do you want the campaign to run?
You could do something where part 1 starts in a museum and the players race to find the clues to the lost treasue of the Pharoh Ah-Bindedlong. Part 2 takes place in a Cairo marketplace where each team tries to find a guide while avoiding the other players and the local constabulary intent on rouding up the "looters." Part 3 is a race across the desert to the lost temple. Part 4 takes place in the temple.
Of course, you could add in a lot of chapters between, but that's a rough outline on how to go about it. If you want to go "around the world" you can have several artifacts required to open the temple vault. A staff, a medallion, an urn, etc. Unless one player is particularly lucky, they'll all end up with one or two pieces, then you set up the scenario where they meet to discuss working together and all heck breaks loose. The player who wins that scenario, gets to leave with all the pieces but the other teams are hot on his tail for the final scenario.
Pulp campaigns are very easy to set up the fun comes in the details you add to make them more than just a fight a,ong players each game.