No, no mods.
I purchased and downloaded Civ4 via Steam, within the last 2-3 years.
My version doesn't seem to have the Game Menu selections that you request. Hmm.
Game save file is attached.
Thanks, Iymond.
The menu options are there, you just have to hit "Back". However, it is irrelevant anyway since you have the Steam version. The Steam version is all patched up.
Anyway, the issue is pretty simple. You are playing Civ IV vanilla. That is the base game. The initial release did not have unique buildings.
I highly recommend that you play Beyond the Sword (BTS), which is the final release/expansion of the game, and THE definitive version of the game.
BTS is a separate installation in Steam. So is Warlords (the first expansion). In the original disk version of the game, the expansions were installed over the base game and required the base games. Most digital versions are like this as well. Steam instead made each expansion "standalone" or a separate installation (the base game assets are still there but each expansion is runs on its own).
So just find Beyond the Sword in your Steam library and install it. (Look for "Sid Meier's Civilization IV: Beyond The Sword) Play it and enjoy one of the best games ever.

Also, note that pretty much all mods now are for BTS...more on that in a bit.
I will provide a few Steam related and general tips regarding your installation of and running Steam BTS: (assumes you run Win 10 machine)
1) After the initial installation of BTS right click on BTS in the library and select Properties > click "'Betas" tab > in the drop down box select "Original Release unsupported...blah blah". Steam will download some stuff which is basically a reinstallation of BTS.
A bit of an explanation here on why this is recommended. Civ IV used to run Multiplayer off Gamespy servers. A few years ago Gamespy shut down. When that happen, Steam decided to update its versions of Civ IV to utilize its own MP platform. The problem is that in doing so Steam changed some of the game assets. This change conflicted with all the many mods made for BTS. Needless to say that immediately created a stink among the fanbase. Steam released a Beta version to allow installation of the game in its original state. So running the BETA version is about compatibility with existing mods.
2) After initial installation, including conversion to the Beta version. Run the game once and exit. Find the main BTS folder which should look something like this "Steam/steamapps/common/BTS/BTS". Yes there are 2 BTS folders - higher and lower level. The lower level folder is the main BTS folder. (the higher level simply contains the base assets as mentioned previously). Locate the BTS.exe > right click > Compatibility tab. Do 2 things on this tab:
a) check the box "run as adminstrator"
b) Set compatibility mode to "Windows 7"...this has been found to be the best mode to run the game in.
(You might want to find the autosave section while you are here as well. Change Max autosaves to 10 and autosave interval to 1)
3) This is optional, but if you find the intro movie playing a bit annoying then you can turn it off. In the main BTS folder find the Civ4Config shortcut and click on it. Should open in Notepad. Find the line "Set to 1 for no intro movie" and below it set "NoIntroMove=1". Now the game will just load straight to the menu.
4) Always run the game from BTS executable as opposed to running from the Steam library. You can create a shortcut on your desktop but personally I like a clean desktop. Instead, I just pin the main BTS folder to Quick Access in Windows Explore and go straight to the folder to run the game.
Lastly, I highly recommend using the BUG mod which can be found here:
BUG
Download BUG and BULL (a synergistic companion to BUG) and install using the Custom Assets option (SP). BUG install is a program, but BULL is a zip file with included instructions. The custom assets installation does not require loading of a mod. It's a nice option for playing forum games.
What BUG does is improve the UI and informational features of the game, without changing gameplay (BUG stand for BTS Unaltered Gameplay). BULL enhances BUG by adding some deeper features.
You can also install the BAT mod from that same location. BAT is BUG+BULL+graphical enhancements. It's a standalone mod that you load up. (I use this mod most for own casual gameplay)
BUFFY is another mod you might consider installing as well. BUFFY is BUG+BULL+HOF mod. You can find it on the HOF page - see link in my sig. BUFFY allows one to submit games to the CFC HOF (again see my sig), and also participate in another nice CFC feature here called Game of the Month (see my sig). Game of the Month is a friendly competition here where CFC staff generate a new game/map or even two each month. These games can often have some interesting setups. (I realize you are fairly new and inexperienced but everyone is welcome and its a good way to learn as you see what others can do)
Speaking of learning, I highly recommend becoming a denizen of the Strategy & Tips subforum here. I great place to ask questions and participate in the forum games there. The members here are quite helpful and eager to assist newer players expand their Civ IV horizons. A "Noble's Club" series of games is run frequently there, and often you will see players running what we call shadow games. Essentially shadow games are new players running there own game and play turns to get advice.
Oh..I meant to mention the Blue Marble mod. BM improves terrain and water graphics. It also has a separate feature that allows changing UI color. The BM page is actually located in that BUG mod link I gave you but for some reason the download there was recently broken. I've saved off a copy to my Google Drive and can provide a share link here:
BM
BM is what I call an overlay mod. It basically installs in Custom Assets but also tweaks a few main asset files as well. It does not need to be loaded and does not conflict with other mods.
(Note on installing BM. You will notice an additional file in that download. This is a copy of the civilization4.exe which is the vanilla executable. You can place this in the main BTS folder. BM needs to point to the file to run the installation - just follow the prompts and find the file. This is a result of Steam's different configuration of the game)
Lastly, a note on installing mods is to always run any executables as administrator, which one can simply do by right-clicking on the file and choosing the option.