As long as there is a blend file included in the download, you can also use the civ5 uploads as starting point. In this case use Blender to open the blend file. If you import the RTW units directly in max, you can also start from here.
Starting from this, you can use the niftools export scripts (or for some Max version also the official scripts) to get nifs. But most likely some adjustments to the models are necessary before the resulting export will be really civ4 ready. E.g. - to provide one example - it could be necessary that you must rerig the models if you use the civ5 units as starting point. The existing civ4 tutorials should help you to understand which steps are necessary (converting is similar to the "normal" civ4 unit creation, you only start already with a mesh and a texture).
One last remark, civ5 models have all parts of the unit merged into one mesh (body, shield, sword), civ4 nifs have (or also need) them often as separate objects.