This seems somewhat strange as I don't know of any way these can become turned off without you specifically doing it. Just to check, this isn't in multiplayer is it? Wonder movies and tech quotes are not used in multiplayer, to avoid slowing the game down.
If this isn't in multiplayer, check the Civ4.ini config file. The "notechsplash" and "nomovies" lines should be set to 0 for them to appear.