How to i change language

I tried the options switch, but it still speaks in previous language.

You'll have to reinstall.

Uninstall the game (Control Panel -> Add/Remove Programs -> Sid Meier's Civilization 4/Warlords/Beyond the Sword/Colonization), then reinstall. The first dialog should ask you what language you want to be in.

Jesus...All audio files only take 8MB space. Cant be changed, cant be extracted. Reinstalling 4GB, 30.000 files and several CD changes is sure funny. Devs have a strange sense of humour.

It's probably not only the audio files, but also thousands of names and other wording and their links that change with language. Actually, I doubt that much of the audio files would change; whatever the base language, one would expect that when playing as the Romans their response to your commands would be in Latin, for example. As to the commentaries when a new tech is discovered, I don't know if those were recorded in languages other than English - but doubtless somebody knows.