The "correct" way would be to install it in your main Civ4 directory under the mods folder, typically this is c:\program Files\Firaxis\Sid Meier's Civilization 4\Mods once you have it there start the game and go to the "Advanced" menu, in there you'll see a "Mods" option, open that and find and activate the new mod.
If you want to do it an easier way that may or may not always work you can simply extract the contents of the mod's zip file into the Civ 4 Custon Assets folder burried in your "My Documents" folder. This way you don't have to activate it when you start the game but you will have to manually delete the files if you decide you don't want to play with the mod. Using the custom assets folder can also cause problems with MP games if the other player have the same mod installed but not in their custom assets folder.