This question is probably best put in the Civ3 Technical Support forum, but I'll answer it anyway.
In the main folder, there is a file called HighScores.cv3
C:\Program Files\Infogrames Interactive\Civilization III\Conquests
Click to open it, and it will tell you that it does not know what program to open it with. Choose that you want to select a program from the list. Select notepad, or a similar text editor. There will be a list of the high scores achieved. Delete the lines you want.
Alternatively, you can re-install.
-Elear