Civ iv in steamapps\Beyond the Sword\Mods\Caveman2CosmosC:\Beyond the Sword\Mods\Caveman2Cosmos or civ iv in steamapps\Beyond the Sword\Mods\Caveman2Cosmos where exactly? Paste your exactly full path.
I don't have steam version, @Toffer90 can add instruction on how to install mod if you have steam version.