You don't mention if you've downloaded previous 030 patches without problem.
The reason I mention this is that I had a very similar problem...With the same level of frustration
My original copy of Civ4 that I used to play 023 on was in a file: program files/firaxis games/Sid meier's civilization 4/Mods.
When I bought BTS, the only upgrade copy i could get was on a Civilization complete disc. I duly loaded the new version amd sort out ffh patch (patch C I think it was). When I tried to play I kept getting "failed to initialize primary theme" error. Even though I'd fully downloaded the whole FFH2 game not just patch C.
The problem turned out to be Civilization 4 complete (and posibly other versions) writes a completely different file for a fully functioning version (all versions) of civ4 but the path, in this case, is Program files/firaxis games/sid meier's civilization 4 COMPLETE/ beyond the sword/mods and then gives you a handy desktop icon pointing to it. All kael's patches point to the first path mentioned and not the latter, even now when I patch, I have to manually browse and reconfirm target path.
Don't know if this is true in your case but maybe in your firaxis games files you may find 2 copies of Civ4 (edit: and that you've downloaded the FFH2 game to the wrong path). Hope it helps as I'm not sure what's more frustrating.... not being able to play FFh2 or having to write huge long file path names
Good luck