Where are those autosaves located ? I wanted to load an autosave of couple turns ago, but couldn't find it. In which directory those autosaves are ?

On your computer they are in My Documents/My Games.

There is a softlink to the saves in the Civ4 folder. It's named "_Civ4Saves". It's just a link to the physicall location, but is much easier than having to dig through the documents folder. Screenshots and other user data can be found that way also.