i'm trying to get a friend to play civ4, but after installing the game, i noticed that the game did not create a \My Games\(..) directory.
when starting, i see the loading screen for a second, and then... nothing.
The .lnk files in the game folder exist but obviously don't go anywhere.
I've tried reinstalling thrice, i even put the game on the system-drive, but that didn't help, either.

I've run on to the same problem (or so i thought is a 'problem) when I first installed Civ IV. but when i got the game started, those folders have been automatically generated.

Yeah, it doesn't create these files until you run your first game. You've most likely got an install error, but it's unrelated to those files.