Let me try a more step-by-step method:
Launch Civ-4 BtS.
Install the Mod for Fall from Heaven (if you did not use a shortcut to launch and load at the same time.
Choose "Single Player", then Scenarios. Fall from Heaven scenarios are at the top.
Say Ok to the next page and you will load a level. Immediately a scenario picker menu appears.
To choose your scenario for play, click on the button to the left of the title. This should launch Civ4 into loading the new scenario.
(If you just click on the title, it shows a description. Clicking on Exit leaves the menu, loads nothing, and leaves you in a very empty world.)