Ha...you know it's funny you mentioned that as the same thing happened to me just this week.. It actually happened before on a new install some time ago but I can't recall exactly what I did to fix it and it is still an issue for me.
The story is this...just recently, Gamefly finally picked up Warlords (I've had both disk and DD versions for some time, but not DD Warlords). I had Warlords on an older machine but wanted it on my new hotrod (for WOTMs), which uses the DD version of Vanilla/BTS. So I buy Warlords and uninstall/reinstall with Warlords.
Odd thing..and it pissed me off...is that even though I have the individual copies of each version from Gamefly, it installs as the "Complete" version (fully patched). This screwed me up more than just the double-click save issue. The Gamefly version installs in a completely new folder "2K Games" vs. the "Firaxis" folder I'm used too. And the "user" folders are called "......Complete". So I had to move all my saves, mods, and tools over to new folders, which was a beeooottch. For one, I had to go in and edit the code in my tools.
So anyway, I think the double-click issue is a "registry" issue. I believe my uninstall of the prior install, which was the Direct2Drive version (Gamefly bought them out), left remnants of the old install in the registry or the new version simply to did quite install correctly because of the same issue, even though it basically works. Something is conflicting as a result
My saves open on double-click for Vanilla, but not Warlords and BTS, which is interesting. I haven't figured it out, but what I'll probably do is another uninstall/reinstall and clean all remnants of Civ IV in the registry before reinstalling. And delete all the old folders everywhere.
I suggest you do the same. I believe the first time it happened to me, which was simply a reinstall of my disk version, plus DD BTS on another machine, it was just a bad install. I did something out of order.
(are you using BUFFY for GOTM or HOF?)