for vista, i don't know if this works, i never had vista. in XP, to change where your saves move, change the shortcut that you use to start civ4. when you rightclick on it, you'll see Target and it will already have some stuff in there like
"I:\civ4\Beyond The Sword\Civ4BeyondSword.exe"
it does include the ""s. depends where you have the actual game files. you want to leave that part the same, but add next text to the end. add this, quote marks and all:
/ALTROOT="C:\Users\<name>\Saved Games\Beyond the Sword\"
so you end up with:
"I:\.<blah>...Sword.exe" /ALTROOT="C:\Users\<name>\Saved Games\Beyond the Sword\"
all on that line. you probably need to replace <name> with your name, but i'm not sure how vista works

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that changes where your saved games go, your .ini file is, screenshots, etc. i've used it forever since i can't stand saved games going to the dirctory that has windows on it.
@Wenla: to autosave every turn, there's a setting in .ini file like:
; Specify the number of turns between autoSaves. 0 means no autosave.
AutoSaveInterval = 1
i think it originally was at 4, i changed mine to 1. if that line isn't in your .ini file, you can add it.