If you guys want I'll play with you guys sometime this Spring Break. I don't know about the direct connection option, but if you create a Gamespy account you can login and join a game. If you want it could just be the three of us in a password protected game. I've played multiplayer a bit and even though I'm not terribly good I could give you guys some pointers. Really, if you go straight to online without knowing what it's like before hand you will get crushed.
Check out "Ten Mistakes Offline Players make when Playing Online" here: <http://www.civfanatics.com/civ4/strategy/mp_mistakes.php>
I disagree somewhat with a few things, but the most important lesson by FAR to take away from it is to BUILD YOUR MILITARY. Many onine players are, unfortunately, warmongers, though there are some games that turn out differently. Always be ready.