raystuttgart
Civ4Col Modder
A lot actually.Im a little confused about this - so what is then the difference in difficulty in between Explorer - Conquistador - Governor?

It affects bascially all parts of the game.
For you: Starting Gold, Attitudes of Natives towards you, taxes, prices in Europe, Founding Fathers cost modifiers, Strength of the King`s Ref, Goodies, ...
For AI: Various modifiers it gets related to e.g. construction, growth, immigration, ...
Just look into:
CIV4HandicapInfo.xml