I did the same thing, bought Civilization IV from Gamespot and tried the BUILT IN updater, it downloaded the update, said it had to close the game and install the update.

As soon as the installer for the updater starts it says:

'The setup has detected that no version of Sid Meier's Civilization 4 is installed.

This update requires that a previous version of the application be installed."

... Great job Gamespot and Trymedia ...