It's not clear which Conquests folder you have put it in. Normally scenarios go in one of two places:
~/Documents/Civilization 3 Complete/Scenarios/
Or
[Location of Civilization 3 Complete application]/Conquests Game Data/Scenarios/
Then you select "Civ Content" in the main menu to bring up the list of scenarios to choose from.
[Location of Civilization 3 Complete application]/Conquests/ is another possible location, and it may work as well, but I've no experience of it.
The folder structure of the Mac version is different from the Windows one, so the Civ3 software has to try to translate file paths that are included in scenarios to find the correct files. Aspyr had a lot of trouble with this in the first version, and Rev A was supposed to fix most of it, so you *must* ensure that your Civ3 is patched to Rev A. It may still have trouble with some scenarios, and I don't know how well it deals with the "Conquests" location.
If the mod is one of those that defeats the Mac version's file path translation system, the workround is to create a new folder structure containing aliases or symlinks to your actual Civ3 folders, and make it look like the Windows folder structure. Then run Civ3 Complete from within that dummy folder structure and all the paths should work. There are examples of this technique used for other purposes in the threads describing how to get Windows editors and CivAssist II to run on a Mac using Parallels. This case doesn't require Parallels, as all you are doing is remapping the folders.
I'll try to download the mod and investigate. [UPDATE] Three attempts have failed to get the full file. I'll try Speed Download instead of Safari.