The easiest way for me to load a mod that I play frequently (saw that in someone's guide here in the forums) is to first make a new shortcut of the Civ4 run exe on my desktop. Then go in its Properties, "Shortcut" tab, in the "Target" field add at the end of the line mod=/MyModName
It should look something like this:
"D:\Games\Sid Meier's Civilization 4\Beyond the Sword\Civ4BeyondSword.exe" mod=/MyModName
D:\ drive and \Games\ folder is of course personal according to your installation of the game, and MyModName should be the name of whatever mod you're using.
This way I don't have to run Civ4 first and then load the mod, and also I have two shortcut icons for both the original game and the specific mod I want to play...
Just make sure you've put the mod folder in the correct place as the modder's guide would suggest in a ReadMe or something, also check which expansions and patches the mod needs, usually mod creators take time to explain the requirements and write instructions...