First off, welcome to CFC!
1. Civ Chronicles includes all Civ games and all their expansion packs with the significant exception of the expansion packs for Civ IV. Frankly, I'd be surprised if you'd still want to play I or II after getting into IV, and you just said you didn't like III, so why would you want to buy it
and its expansion packs again? I haven't looked back since I started with IV--unless you're a dedicated gamer I'd be surprised if you do either.
So I'd recommend just getting Civ IV and the Beyond the Sword expansion pack. The latter includes all the Warlords content/features except the Warlords scenarios.
2. Civ IV ran just fine for me on my Windows XP box. It runs just fine on my new Vista machine as well. Just check the game tech requirements carefully. If you have a XP machine that's a little older, an upgrade or two may be necessary. Civ IV uses a 3D engine that can be very demanding--not as demanding as a first-person shooter, but demanding nonetheless. (I had to upgrade both my RAM and my video card on my old XP computer to get it working acceptably.)