Ugh, this doesn't sound good. My computer is always running at a crawl when I exit Civ 4, but this is true for any high requirement game, and restarting it always puts it right. Has your hard drive been making an unusual amount of noise during the game? A few people have been complaining about this, though I've had no trouble, and this could conceivably do it some harm. I'm afraid this is a bit beyond my technical knowledge.
The only other obvious thing is if you've tweaked any settings trying to get Civ 4 to run, try putting them back again.