How long do you wait for? I remember the first time I tried to load Civ4Gold - I thought that it had stalled up my computer, because it didn't look like anything was happening, so I used the Task Manager to kill Civ4. But the next time I waited about 2 minutes and it loaded fine. FfH doesn't have as long of a lag time between exiting and loading as CivGold did, but if you have a slow machine, maybe that's it?
Since you probably won't want to play any other mod after playing FfH, you should go to My Documents/My Games/Sid Meier's Civilizations IV/ directory and open up the CivilizationIV.ini file in Notepad. Go down to the line that says:
; Specify a Mod folder (Mods\Mesopotamia), '0' for none
Mod = 0
and change it to
; Specify a Mod folder (Mods\Mesopotamia), '0' for none
Mod = Fall from Heaven 2 022
Then it will load without you having to restart. If you do want to play Vanilla or another mod, it's easy enough to change it back. I'm pretty sure there's also a way to make a desktop shortcut which will load FfH2, while leaving the normal shortcut for Civ4, but I haven't tried to do that yet.