Steam - Civ 4 won't launch

Simple as that, I just bought it, installed Vanilla, Warlords and BTS, but none of them will launch, nothing even shows up I go in game (my avatar border turns green) only to go blue immediately.

Any help? I can't use the patches since it's a Steam and the guide stickied does not seem to apply for that unless I have to uninstall my games and even then I don't even know how to tell Steam to install them in Games.