I have had the same problem, Demo102. Here is my fix:
First, all the files are in the "Conquests" folder; the one with "Civ3Conquests.exe".
Second, the file name is "highscores.cv3" not "highscores.civ3". Again CV3 not CIV3
Third, the files "bic_in.tmp" and "bic_out.tmp" do not appear until...