Basically I had my directories like this:
Firaxis\Sid Meiers CIV 4\
Firaxis\SM_CIV4_2.08\
Firaxis\SM_CIV4_2.13\
So the folders containing the Warlords install are at the same depth as the Vanilla CIV4.
So we go into the vanilla directory, with a command prompt.
C:\Program Files\Firaxis\Sid Meiers CIV 4>
linkd Warlords "..\SM_CIV4_2.08"
Which will create a linked-directory called Warlords, that points one level up to the SM_CIV4_2.08 directory.
I haven't used linkd in quite some time, make sure the args it takes are: newLink toFolder
both "junction.exe" and "createHardLink.exe" operate with arguments in that order.
Whenever you want to revert the Warlords install, just repeat the process...
Go into Vanilla CIV4's program directory
junction Warlords "..\SM_CIV4_2.13"
the ".." means up one level, also make sure never to put a slash at the end of the folder name
ie do
NOT do: junction Warlords "..\SM_CIV4_2.13\"
That wont create a valid junction.
Dont worry too much about 'screwing up'

The worst that will happen is the game wont start 'cuz you didn't point the directory to the right place. You have all the Folders safe & sound one level up from Vanilla CIV4's program folder.