My brother and I both have Civ IV, warlords and BTS.. the exact same cd's.

We installed the game exactly the same way.. however when we wanted to try a LAN game, neither of us could connect to each other's games. The game claimed "the version of our critical game files do not match our host's cannot join game!" :confused:

This doesnt really makes sense.. what is different about our games?

You must have the EXACT same patches installed. Check which version you're running by launching Civ, going to "Advanced -> About This Build" and verifying you both have the same version.