Ah, Moin, Moin, mein Jung'.
Well, I don't think it is possible to give a real tutorial about making such movies, because there are so many different technics and possible programs you can use. But I can give you some general advises.
First, what do you need:
1. A program to create video files from pictures in a common file type (avi, mpg, wmv)
2. A video and audio cutting software
3. The "RAD video tools" (Bink), just google for it, it is free for download
4. An idea (that is the most tough one) and material you want to use (music, pictures and/or movie files)
With Windows XP there should be the Windows Movie Maker. It can do a little bit of (1) and (2). I don't like the program, but if you don't have something else... And I think Arian has a better opinion about this program, but actually I do hate it.
Now, what I am doing normally (you can proceed completly different, if you prefer):
Of course first of all, I do an internet research. I gather informations about the topic I want to create a movie about (e.g. the Wonder). After I have an idea what the movie should looklike, I am collecting pictures and movie files like crazy. Actually this part of the work is quite frustrating, because you won't find exactly, what you want (it has to be high-resolution!!!), and it does take about 80% of the needed time.
After that the real creative part does begin. First you have to transform your pictures into movies. I am sure you have seen these technics with Arians movies and perhaps mine. For example you can take a really high-resolution picture and zoom in or out or move slowly zoomed in all over the picture.
I use a program called "Swish" for this. (It isn't Freeware.) Normally you are making Flash animations for internet use with it, but you can also create avis with it. So I think, you can also use Flash itself, and if Windows Moviemaker does make you crazy like me, you should be able to do some stuff with it, too. I am quite sure there are more programms you can use, but I don't know one.
You have to find out how to use the programs yourself, because there are so many of them, and everybody does prefer different ones.
After this you should have together with your downloaded video material a hand full of video files. Now you need a video cutting program. I use Nero Vision (it's with the normal Nero Burning ROM software) for this, but there are really many programs you can use. Now you have to cut and to arrange your video files and the audio/music you want to use. What you'll get as a result should be a composition of scenes which is between 30 and 60 seconds long. You can create longer or shorter movies, but take that as a reference. (The movies Arian and I normally do create do have 640x480 pixels and 25 frames per seconds. The cutting software will probaly ask you about this. That is quite big and that is why you need high-resolution material.)
The rest is very easy now. Start the RAD video tool, select your created movie and click on "Bink it". There will appear a new window with settings. Only one is really important: Set the compression rate to about 150 000 (default is 600 000). For short movies you can use 200 000 or 250 000 but the higher the bigger the output file will become. Click on "Bink" and the tool will encode your movie into the bik-file format which Civilization does like.
If you have concrete questions about this, send me an PM.

Good luck.