I'm confused. You installed FfH, right, and now you're trying to install Fall Further.
If I'm understanding this correctly, you're trying to open your Fall From Heaven directory by double-clicking the installer that you downloaded?
If so, have you actually installed Fall from Heaven yet? If not, run the installer and install it. If you have, then where did you install it to? (If you don't remember, go to Start->Search-> and type in Fall from Heaven). If it's installed in the default directory (you didn't change anything when you installed it), double click on My Computer, then C:, then program files, then Sid Meir's Civ 4, then Beyond the Sword, then Mods. You should see a folder labeled Fall from Heaven 2 032 in there. Click on the folder, got to edit, and pick "copy". Then you go to edit again, and pick paste. Then...
Actually, can someone else take it from here?
[Edit] Actually, just to be sure, are you using Windows or a Mac.