I found this in this or apolyton forums, but can't find the post now...so kudos goes the person who figured this out, not me...
The choppy movie is caused by Anti-Aliasing being turned on in game. It is because the wonder's movies use Blink (a 3rd party movie player). When you use Anti-Aliasing in game, it tries to AA the blink movies also...hence creating the choppiness.
To fix it do the following:
1. Turn off AA under the graphics options inside of civ4 (i.e. set it to 0)
2. Exit Civ4
3. If you want to use AA, use it from your graphics card. IF your card is capable of doing this (most modern ones are), then goto: windows control panel > display > settings > advanced > [your video card manufacturer name] tab at top. Look around, if you have it, this is the most likely place to find it.
4. Hold down the shift key (keep it down) and restart civ (e.g. hold shift, double click civ4 icon on desktop) ...keep holding the shift key
During the load sequence, one of the things says "XML (uncached)" once you see that, your movies should be better. if it says "XML (cached)" you didn't hold the shift key soon enough, or long enough. (Holding the shift key while starting civ4 clears the cache...you need to clear the cache after making the changes)
HTH