But:
DON'T CHANGE YOUR VANILLA FILES! COPY THEM FOR YOUR MOD OR COPY THEM IN TO THE SAME-NAMED FOLDER IN CUSTOMASSETS!
(assets = the vanilla files; customassets = your custom files)
go to assets\xml\buildings
-civ4buildingclassinfos.xml and create a building class for you wonder
-civ4buildinginfos.xml and create an entry for your wonder
-civ4cityLsystem, scroll down till you find entries of buildings and create an entry for you wonder
assets\xml\art\civ4artdefinesbuilding.xml defines where the graphics of your building is.
(just copy the entry of another building and change it)
assets\xml\text in this folder are the pedia and textfiles. I suggest to open gametextnew (or so) and put the name (TXT_KEY_BUILDING_YOURWONDER) and the Pedia (TXT_KEY_BUILDING_YOURWONDER_PEDIA).
the graphics belong in customassets\art\structures\buildings