This is the wrong forum for questions: they should be posted in the main
Civ4 - Creation & Customization forum.
But, as you're new here (and welcome to CFC by the way

), I'll make an exception.
To change city names, you need to go into your
Assets/XML/Civilizations folder (normally where you installed Civ under the subfolder Beyond the Sword) and open
CIV4CivilizationInfos.xml. Don't edit your core files though; copy that file into your
CustomAssets folder (typically under your My Documents folder in
My Games/Beyond the Sword) under the same structure (i.e.
CustomAssets/XML/Civilizations). Then, edit away. If you're adding new cities, simply add them in in the same way as the others, but don't use the
TXT_KEY_... formatting, just type them in as you would in a Word document.