When you open that folder named NextLevelMod you got in your MODS Directory is ther the Assets folder? or do you have to open another NextLevelMod. It should be like this:
:/Documents and Settings/mycomp/My Documents/My Games/Sid Meier's Civilization IV/Mods/NextLevelMod/Assets
:/Documents and Settings/mycomp/My Documents/My Games/Sid Meier's Civilization IV/Mods/NextLevelMod/Assets