If you are trying to use the in game updater, it does not work. You should go the the "Patch & Update" page from the Civ4 drop down menu at the top of any forum page. Use the patch from there. When you download the patch from there don't use the Firaxis page, it no longer exists, which is why the in game updater does not work. Use one of the mirrors.
Does your download have its game files in the programs folder (or another folder that you chose)? If neither of those and it created its own location somewhere else, the standard patch from the forums won't be able to find the files to update. In that case, you will need to get the patch from the same online source as where you got the game.