Thanks. Here's the deal with that mod. Nothing complicated:
1. Download the linked file on that page, and you get a .zip file. Just double click it to expand it to a folder called "World War 1". As its Assets folder doesn't contain a CvGameCoreDLL.dll file, there's a chance we can get this to work. And it does!
2. Drag the "World War 1" folder into the Documents/Civilization IV/MODS/ folder inside your Home folder. Your Home folder is the one with a house icon in the Finder.
3. Fire up Civ4. When it's running, click "Advanced" in the main menu, then click "Load A Mod". Select "World War 1" in the list of mods that appears, and click OK. The game will say it has to restart to load the mod. Agree to this.
4. The game will restart, and you should see it loading up the WW1 mod. When you reach the main menu again, it should say World War 1 in the top right corner of the screen.
5. Click "Single Player", then click "Play A Scenario". Select "World War 1" if it isn't already selected, choose your civilization, difficulty and game speed, and the game will load up and start. It took a little while to start on my system, so be patient.
You should then be able to play it.