You won't be able to include this particular building into civ4. First of all, there doesn't seem to be a download link for that building. If you have luck, you find another version with a link. Then you could include that, theoretically, but it isn't that easy. Well, that depends on the building, but mostly it's involving quiete a lot work. You will have to reduce the buildings resolution (polygon count) and bake the texture (mergeing all the textures into one file) - which means a lot of work in most cases - and then export it as nif. This nif, you could include into civ4. There's another problem: blenders import script for collada files doesn't work well for me. Chances are good, I tihnk, that import would fail for you. 3ds max would work better, but it is expensive unless you are a student.