Step 1, learn a little about Python before trying to do any of this. Try going through the first... 5 or 6 (or all 11 if you are a total programming newbie) of the Python Tutorials in the sticky thread
here. Alternatively you could try this
one, but I haven't looked at it, myself.
Then, take a second to glance over the modder tutorial forums and learn the proper way to make a mod folder.
Then, take a look at the Python API
here. You don't have to read it all by any stretch, but you'll want to look at CyUnit (which is a unit object).
Then, go into you Civ4 Assets\Python folder and copy CvEventManager.py to somewhere else and take a look at the events it lets you capture. There is a description of them in brief
here.
Then, take a look at the mods the game comes with. In particularly, when I was starting out, I looked at GreekWorld alot. Try to understand what it is doing and how it is doing it. Use the Python API page as a reference. If you like, you can download some other people's mods, smaller are better to start out with, and take a look at what they've done. It's a great way to learn.
Get a grep tool.
Get a diff tool.
By this point you should be ready to enter the wonderful world of Python modding in Civ4, with near limitless capabilities. Also, at this point, our pointers above will be readily meaningful to you.
Finally there is a kitchen sink overview
here. All of these have been posted about in the tutorials section. You should take a look, the information you want is already there.