-Open up your command prompt
-Type "ipconfig" and find your ip address
-Start Civ IV, Click Multiplayer, Click Direct IP Connection, Start a Game
-Give your friend your IP address
-They Start Civ IV, Click Multiplayer, Direct IP Connection, Join Game with your IP Address
-Talyor the settings to your preferences.
-Start the game.
Firewalls can greatly complicate this however.