Registered because I encountered this error today when I installed Civ4 through Steam.
The error is in the shortcuts target, to fix it simply:
Rightclick and choose properties of the shortcut.
Change target from "..\Steam\SteamApps\common\Sid Meier's Civilization IV Beyond the Sword\Beyond the Sword\Civ4BeyondSword.exe" mod="BAT Mod 4.1"
to "..\Steam\SteamApps\common\Sid Meier's Civilization IV Beyond the Sword\Beyond the Sword\Civ4BeyondSword.exe" mod=" BAT Mod 4.1"
The same error occurs for me with the BUG Mod, as to why the space is needed, no clue.