A friend and I finally figured out how to do this.
When you start the game, choose MultiPlayer, then Play By Email (duh!) and begin a new game, selecting all of the human players at this time (so if you want to be Cyrus of Persia, your friend George wants to be Roosevelt of America, and your friend Joe wants to be Mao Zedong of China, set that up now), along with size of the world, maps, etc.
After you finish your first turn (and make sure you're Player #1 so you're the first to go) and the green button turns red and you get the Press <Enter> to Continue notice, press the Enter key (real rocket science here

); you'll get a notice that the game has been saved to a file that is to be e-mailed to the next player (in this case, it'll say either Roosevelt or Mao Zedong). The file will be in My Games\Sid Meier's Civilization 4\saves\pbem\possibly-another-subfolder-using-your-"sign on"-name-for-your-PC; its name wil include the year of the turn and the player to whom it is to be sent. Attach it to an e-mail and send it to the indicated player (let's say it's Roosevelt).
When Roosevelt gets the file, he saves it to his pbem folder, fires up the game, chooses MultiPlayer and Play By Email, then Load Game. When he finishes his turn and presses Enter, a new save game file is created that is to be sent to Mao Zedong. Mao does the same thing, and gets a save game file that goes to you for your second turn.
That's it. If you change your leader's name -- say, from Cyrus to The Great Kahuna -- that name is used in the end-of-turn notice, and in the file naming convention (the one Mao sends to you).