Moderator Action: Moved to Civ4 tech support.
The problem is that under Vista (...I think; if not, then it was Win7) not all shortcuts are created, and that the user then sits there and can't find how to start it.
-> then you have to create your own shortcuts.
Open the windows explorer, and check if the normal folders are there. In normal cases this should be C:\Program Files\Firaxis Games\Civilization4 (or similar), with subfolders for Warlords and BtS. These folders should all have an .exe file in them, just create shortcuts to them.
If you can't find the folder, then make a right click on your Colonization desktop symbol, go to properties, and check in the tabs where Colonization is located. Civ should be in a similar location.
Another note: The second expansion "Beyond the Sword" includes all content (besides the mods) from Warlords and the base game. All the people here play only Beyond The Sword, there's no reason to play anything else (besides for the tutorial maybe).
Colonization again is a separate game, not an expansion, and has different game mechanics.